No-arbitrage and state price deflators in a general continuous time framework
AbstractIn securities markets, the characterisation of the absence of arbitrage by the existence of state price deflators is generally obtained through the use of the Kreps-Yan theorem. This paper deals with the validity of this theorem in a general framework. We apply this results to the characterization of the no-arbitrage assumption in a general intertemporal framework.
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Bibliographic InfoPaper provided by EconWPA in its series Finance with number 0312003.
Length: 18 pages
Date of creation: 05 Dec 2003
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Note: Type of Document - pdf; prepared on Win98; pages: 18
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Arbitrage; Kreps-Yan theorem;
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- G - Financial Economics
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