THE TWO FUNDAMENTAL THEOREMS OF ASSET PRICING FOR A CLASS OF CONTINUOUS-TIME FINANCIAL MARKETS
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Publication:2875726
DOI10.1111/j.1467-9965.2012.00530.xzbMath1331.91210OpenAlexW2143322927MaRDI QIDQ2875726
Publication date: 11 August 2014
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.2012.00530.x
arbitrage and completeness of financial marketsextremal martingale measuresfirst and the second fundamental theorems of asset pricingItō processespredictable representation of local martingales
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Related Items (6)
No arbitrage in continuous financial markets ⋮ DETERMINISTIC CRITERIA FOR THE ABSENCE AND EXISTENCE OF ARBITRAGE IN MULTI-DIMENSIONAL DIFFUSION MARKETS ⋮ Unnamed Item ⋮ On absolute continuity and singularity of multidimensional diffusions ⋮ A note on arbitrage, approximate arbitrage and the fundamental theorem of asset pricing ⋮ WEAK AND STRONG NO-ARBITRAGE CONDITIONS FOR CONTINUOUS FINANCIAL MARKETS
Cites Work
- Martingales and arbitrage in multiperiod securities markets
- Martingales and stochastic integrals in the theory of continuous trading
- The fundamental theorem of asset pricing for unbounded stochastic processes
- A general version of the fundamental theorem of asset pricing
- A necessary and sufficient condition for absence of arbitrage with tame portfolios
- The existence of absolutely continuous local martingale measures
- The mathematics of arbitrage
- Unnamed Item
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