A characterization theorem for unique risk neutral probability measures

DOI10.1016/0165-1765(86)90143-6zbMath1328.91274OpenAlexW2056109445MaRDI QIDQ899862

Robert A. Jarrow

Publication date: 1 January 2016

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(86)90143-6

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites Work

• Spanning and completeness in markets with contingent claims
• Martingales and arbitrage in multiperiod securities markets
• Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
• On Positive Contractions In L p -Spaces
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