No arbitrage of the first kind and local martingale numéraires

DOI10.1007/s00780-016-0310-6zbMath1364.91161OpenAlexW2522907626MaRDI QIDQ331366

Shiqi Song, Constantinos Kardaras, Youri M.Kabanov

Publication date: 27 October 2016

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: http://eprints.lse.ac.uk/68002/

zbMATH Keywords

arbitragenumérairelocal martingalefundamental theorem of asset pricingarbitrage of first kindseparating measure

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Generalizations of martingales (60G48) Martingales with continuous parameter (60G44) Actuarial science and mathematical finance (91G99)

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