. In such a model, we prove that the absence of arbitrage condition implies the existence of a discount rate and a …

. Our approach leads to an interval of admissible prices much better than the arbitrage pricing interval. …

We derive the implications from the absence of arbitrage in dynamic securities markets with bid-ask spreads. The … absence of arbitrage is equivalent to the existence of at least an equivalent probability measure that transforms some process … as possible linear pricing rules and can be used to determine the investment opportunities available in such an economy …

The problem of fair pricing of contingent claims is well understood in the contex of an arbitrage free, complete … financial market, with perfect information : the so-called arbitrage approach permits to construct a unique valuation operator …

The problem of fair pricing of contingent claims is well understood in the contex of an arbitrage free, complete … financial market, with perfect information : the so-called arbitrage approach permits to construct a unique valuation operator …

necessarily convergence of the arbitrage pricing intervals in that context. We prove here that we have very good convergence … properties for the equilibrium pricing interval as defined by Bizid, Jouini and Koehl (1998) in discrete time or Jouini and Napp …

the no-arbitrage condition in these imperfect models, from which it is easy to derive pricing formulae for contingent … quite general framework, we show that the assumption of no-arbitrage is essentially equivalent to the existence of a …

the no-arbitrage condition in these imperfect models, from which it is easy to derive pricing formulae for contingent … quite general framework, we show that the assumption of no-arbitrage is essentially equivalent to the existence of a …