ARBITRAGE AND FREE LUNCH WITH BOUNDED RISK FOR UNBOUNDED CONTINUOUS PROCESSES

We give two examples showing that for unbounded continuous price processes, the no-free-lunch assumption and the existence of an equivalent martingale measure are not equivalent. In fact it turns out that the notion of an equivalent local martingale measure is natural in this context. Copyright 1994 Blackwell Publishers.

MoreLess

Year of publication:	1994
Authors:	Delbaen, Freddy ; Schachermayer, Walter
Published in:	Mathematical Finance. - Wiley Blackwell, ISSN 0960-1627. - Vol. 4.1994, 4, p. 343-348
Publisher:	Wiley Blackwell

freely available

Full text |

More access options

Check Google Scholar

In libraries world-wide (WorldCat)

In German libraries (KVK)

subito order

I need help

More details

Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008521922