Arbitrage and Investment Opportunities
We consider a model in which all investment opportunities are described in terms of cash flows. We don't assume that there is a numéraire, the time horizon is not supposed to be finite, the investment opportunities are not specifically related to the buying and selling of securities on a financial market. In this quite general framework, we show that the assumption of no-arbitrage is essentially equivalent to the existence of a ``discount process'' under which the ``net present value'' of any investment is nonpositive.
Year of publication: |
1999-09
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Authors: | Jouini, Elyès ; Napp, Clotilde |
Institutions: | Finance Department, Stern School of Business |
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