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No-arbitrage and state price deflators in a general continuous time framework

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Author Info
Elyès Jouini (Dauphine)
Clotilde Napp (Dauphine & CREST)
Walter Schachermayer (TU Wien)

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Abstract

In 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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File URL: http://129.3.20.41/eps/fin/papers/0312/0312003.pdf
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Publisher Info
Paper provided by EconWPA in its series Finance with number 0312003.

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Length: 18 pages
Date of creation: 05 Dec 2003
Date of revision:
Handle: RePEc:wpa:wuwpfi:0312003

Note: Type of Document - pdf; prepared on Win98; pages: 18
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Web page: http://129.3.20.41

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Related research
Keywords: Arbitrage; Kreps-Yan theorem;

Find related papers by JEL classification:
G - Financial Economics

This paper has been announced in the following NEP Reports:

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