The theory of asset pricing, which takes its roots in the Arrow-Debreu model (Theory of value [1959, chap. 7]), the … frictionless. The main result is that a price process is arbitrage free (or, equivalently, compatible with some equilibrium) if and … only if it is, when appropriately renormalized, a martingale for some equivalent probability measure. The theory of pricing …

necessarily convergence of the arbitrage pricing intervals in that context. We prove here that we have very good convergence …

This paper derives a sufficient and necessary condition for arbitrage-free pricing, by the mathematical definition of … derivatives inherently possesses the arbitrage-free property. This condition can serve as a quick 'reality check' to help search … for arbitrage-free asset pricing. …

' indices by applying a multifactor arbitrage pricing model. The local macroeconomic factors are industrial production …