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Arbitrage and state price deflators in a general intertemporal framework
Napp, Clotilde; Jouini, Elyès - Université Paris-Dauphine (Paris IX) - 2005
In securities markets, the characterization of the absence of arbitrage by the existence of state price deflators is ….M., 1981. Arbitrage and equilibrium in economies with infinitely many commodities. Journal of Mathematical Economics 8, 15 …-like condition”.We apply this result to the characterization of the no-arbitrage assumption in a general intertemporal framework. …
Persistent link: https://www.econbiz.de/10011073862
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No-arbitrage pricing for dividend-paying securities in discrete-time markets with transaction costs
Bielecki, Tomasz R.; Cialenco, Igor; Rodriguez, Rodrigo - In: Mathematical finance : an international journal of … 25 (2015) 4, pp. 673-701
Persistent link: https://www.econbiz.de/10011350542
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Random times at which insiders can have free lunches
Imkeller, Peter - 2001
allow the insider to have free lunches with vanishing risk, or even to exercise arbitrage. …
Persistent link: https://www.econbiz.de/10010310404
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Malliavin's calculus in insider models: Additional utility and free lunches
Imkeller, Peter - 2002
knowledge of the maximal stock price process, given by a regular diffusion, arbitrage opportunities exist. …
Persistent link: https://www.econbiz.de/10010310515
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Random times at which insiders can have free lunches
Imkeller, Peter - Sonderforschungsbereich 373, Quantifikation und … - 2001
allow the insider to have free lunches with vanishing risk, or even to exercise arbitrage. …
Persistent link: https://www.econbiz.de/10010956470
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Malliavin's calculus in insider models: Additional utility and free lunches
Imkeller, Peter - Sonderforschungsbereich 373, Quantifikation und … - 2002
knowledge of the maximal stock price process, given by a regular diffusion, arbitrage opportunities exist. …
Persistent link: https://www.econbiz.de/10010956608
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Nonnegative Wealth, Absence of Arbitrage, and Feasible Consumption Plans
Dybvig, Philip H.; Huang, Chi-fu - Cowles Foundation for Research in Economics, Yale University - 1988
A restriction to nonnegative wealth is sufficient to preclude all arbitrage opportunities in financial models that have …
Persistent link: https://www.econbiz.de/10005593363
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Finitely Additive Equivalent Martingale Measures
Berti, Patrizia; Pratelli, Luca; Rigo, Pietro - 2010
Let L be a linear space of real bounded random variables on the probability space (omega,A, P0). There is a finitely additive probability P on A, such that P tilde P0 and EP (X) = 0 for all X in L, if and only if cEQ(X) = ess sup(-X), X in L, for some constant c 0 and (countably additive)...
Persistent link: https://www.econbiz.de/10010335300
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The existence of dominating local martingale measures
Imkeller, Peter; Perkowski, Nicolas - In: Finance and stochastics 19 (2015) 4, pp. 685-717
Persistent link: https://www.econbiz.de/10011420345
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Arbitrage bounds for prices of weighted variance swaps
Davis, Mark H. A.; Obłój, Jan; Raval, Vimal - In: Mathematical finance : an international journal of … 24 (2014) 4, pp. 821-854
Persistent link: https://www.econbiz.de/10011308161