Arbitrage And Free Lunch With Bounded Risk For Unbounded Continuous Processes
AbstractWe give two examples showing that for unbounded continuous price processes, the no-free-lunch assumption and the existence of an equivalent martingale measure are not equivalent. In fact it turns out that the notion of an equivalent local martingale measure is natural in this context. Copyright 1994 Blackwell Publishers.
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Bibliographic InfoArticle provided by Wiley Blackwell in its journal Mathematical Finance.
Volume (Year): 4 (1994)
Issue (Month): 4 ()
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