No-arbitrage and state price deflators in a general continuous time framework

In securities markets, the characterisation of the absence of arbitrage by the existence of state price deflators is generally obtained through the use of the Kreps-Yan theorem. This paper deals with the validity of this theorem in a general framework. We apply this results to the characterization of the no-arbitrage assumption in a general intertemporal framework.

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Year of publication:	2003-12-05
Authors:	Jouini, Elyès ; Napp, Clotilde ; Schachermayer, Walter
Institutions:	EconWPA
Subject:	Arbitrage \| Kreps-Yan theorem

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Extent:	application/pdf
Series:	Finance.
Type of publication:	Book / Working Paper
Notes:	Type of Document - pdf; prepared on Win98; pages: 18 18 pages
Classification:	G - Financial Economics
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005413186