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Projective system approach to the martingale characterization of the absence of arbitrage

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  • Balbas, Alejandro
  • Miras, Miguel Angel
  • Munoz-Bouzo, Maria Jose
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    File URL: http://www.sciencedirect.com/science/article/B6VBY-46BS9BK-4/2/6b91cc78379a2008490c795fc9183002
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Mathematical Economics.

    Volume (Year): 37 (2002)
    Issue (Month): 4 (July)
    Pages: 311-323

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    Handle: RePEc:eee:mateco:v:37:y:2002:i:4:p:311-323

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    Web page: http://www.elsevier.com/locate/jmateco

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    References

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    1. Back, Kerry & Pliska, Stanley R., 1991. "On the fundamental theorem of asset pricing with an infinite state space," Journal of Mathematical Economics, Elsevier, vol. 20(1), pages 1-18.
    2. Schachermayer, W., 1992. "A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time," Insurance: Mathematics and Economics, Elsevier, vol. 11(4), pages 249-257, December.
    3. J. Jacod & A.N. Shiryaev, 1998. "Local martingales and the fundamental asset pricing theorems in the discrete-time case," Finance and Stochastics, Springer, vol. 2(3), pages 259-273.
    4. Pham, Huyen & Touzi, Nizar, 1999. "The fundamental theorem of asset pricing with cone constraints," Journal of Mathematical Economics, Elsevier, vol. 31(2), pages 265-279, March.
    5. W. Schachermayer, 1994. "Martingale Measures For Discrete-Time Processes With Infinite Horizon," Mathematical Finance, Wiley Blackwell, vol. 4(1), pages 25-55.
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    Cited by:
    1. Firoozi, Fathali, 2006. "On the martingale property of economic and financial instruments," International Review of Economics & Finance, Elsevier, vol. 15(1), pages 87-96.
    2. Balbás, Alejandro & Downarowicz, Anna, 2007. "Infinitely many securities and the fundamental theorem of asset pricing," Open Access publications from Universidad Carlos III de Madrid info:hdl:10016/12972, Universidad Carlos III de Madrid.
    3. Balbás, Alejandro & Balbás, Raquel & Mayoral, Silvia, 2007. "Risk-neutral valuation with infinitely many trading dates," Open Access publications from Universidad Carlos III de Madrid info:hdl:10016/13981, Universidad Carlos III de Madrid.
    4. Alejandro Balbas & Anna Downarowicz, 2004. "Infinitely many securities and the fundamental theorem of asset pricing," Business Economics Working Papers wb043513, Universidad Carlos III, Departamento de Economía de la Empresa.

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