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On the fundamental theorem of asset pricing with an infinite state space

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  • Back, Kerry
  • Pliska, Stanley R.

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  • 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.
  • Handle: RePEc:eee:mateco:v:20:y:1991:i:1:p:1-18
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    References listed on IDEAS

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    1. Cass, David, 1972. "On capital overaccumulation in the aggregative, neoclassical model of economic growth: A complete characterization," Journal of Economic Theory, Elsevier, vol. 4(2), pages 200-223, April.
    2. Shell, Karl, 1971. "Notes on the Economics of Infinity," Journal of Political Economy, University of Chicago Press, vol. 79(5), pages 1002-1011, Sept.-Oct.
    3. Masahiro Okuno & Itzhak Zilcha, 1980. "On the Efficiency of a Competitive Equilibrium in Infinite Horizon Monetary Economies," Review of Economic Studies, Oxford University Press, vol. 47(4), pages 797-807.
    4. Wilson, Charles A., 1981. "Equilibrium in dynamic models with an infinity of agents," Journal of Economic Theory, Elsevier, vol. 24(1), pages 95-111, February.
    5. P. Frevert, 1971. "Note," Review of Economic Studies, Oxford University Press, vol. 38(2), pages 269-270.
    6. Burke, Jonathan L., 1987. "Inactive transfer policies and efficiency in general overlapping-generations economies," Journal of Mathematical Economics, Elsevier, vol. 16(3), pages 201-222, June.
    7. Balasko, Yves & Shell, Karl, 1980. "The overlapping-generations model, I: The case of pure exchange without money," Journal of Economic Theory, Elsevier, vol. 23(3), pages 281-306, December.
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    Citations

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    Cited by:

    1. Löffler, Andreas, 2003. "Das Standardmodell unter Unsicherheit ist ökonomisch unsinnig," Hannover Economic Papers (HEP) dp-274, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    2. Firoozi, Fathali, 2006. "On the martingale property of economic and financial instruments," International Review of Economics & Finance, Elsevier, vol. 15(1), pages 87-96.
    3. Balbas, Alejandro & Miras, Miguel Angel & Munoz-Bouzo, Maria Jose, 2002. "Projective system approach to the martingale characterization of the absence of arbitrage," Journal of Mathematical Economics, Elsevier, vol. 37(4), pages 311-323, July.
    4. Loewenstein, Mark & Willard, Gregory A., 2000. "Rational Equilibrium Asset-Pricing Bubbles in Continuous Trading Models," Journal of Economic Theory, Elsevier, vol. 91(1), pages 17-58, March.
    5. Schürger, Klaus, 1996. "On the existence of equivalent [tau]-measures in finite discrete time," Stochastic Processes and their Applications, Elsevier, vol. 61(1), pages 109-128, January.
    6. Gibson, Rajna & Lhabitant, Francois-Serge & Talay, Denis, 2010. "Modeling the Term Structure of Interest Rates: A Review of the Literature," Foundations and Trends(R) in Finance, now publishers, vol. 5(1–2), pages 1-156, December.
    7. Gilles, Christian & LeRoy, Stephen F., 1998. "Arbitrage, martingales and bubbles," Economics Letters, Elsevier, vol. 60(3), pages 357-362, September.
    8. repec:dau:papers:123456789/5374 is not listed on IDEAS
    9. Dilip B. Madan & Frank Milne, 1994. "Contingent Claims Valued And Hedged By Pricing And Investing In A Basis," Mathematical Finance, Wiley Blackwell, vol. 4(3), pages 223-245.
    10. Hardy Hulley, 2009. "Strict Local Martingales in Continuous Financial Market Models," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 19.
    11. Tak Siu & John Lau & Hailiang Yang, 2007. "On Valuing Participating Life Insurance Contracts with Conditional Heteroscedasticity," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 14(3), pages 255-275, September.
    12. Balbás, Alejandro & Downarowicz, Anna, 2004. "Infinitely many securities and the fundamental theorem of asset pricing," DEE - Working Papers. Business Economics. WB wb043513, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
    13. Patrick Assonken & G. S. Ladde, 2015. "Option Pricing With A Levy-Type Stochastic Dynamic Model For Stock Price Process Under Semi-Markovian Structural Perturbations," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(08), pages 1-72, December.
    14. Hindy, Ayman, 1995. "Viable prices in financial markets with solvency constraints," Journal of Mathematical Economics, Elsevier, vol. 24(2), pages 105-135.
    15. Siu, Tak Kuen & Yang, Hailiang & Lau, John W., 2008. "Pricing currency options under two-factor Markov-modulated stochastic volatility models," Insurance: Mathematics and Economics, Elsevier, vol. 43(3), pages 295-302, December.
    16. Siu, Tak Kuen, 2008. "A game theoretic approach to option valuation under Markovian regime-switching models," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 1146-1158, June.
    17. Balbás, Alejandro & Longarela, Iñaki R. & Pardo, Ángel, 1997. "Integration and arbitrage in the spanish financial markets: an empirical approach," DEE - Working Papers. Business Economics. WB 7017, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
    18. Yao, Yong, 1999. "Term structure modeling and asymptotic long rate," Insurance: Mathematics and Economics, Elsevier, vol. 25(3), pages 327-336, December.
    19. Lau, John W. & Siu, Tak Kuen, 2008. "On option pricing under a completely random measure via a generalized Esscher transform," Insurance: Mathematics and Economics, Elsevier, vol. 43(1), pages 99-107, August.
    20. Y, Ivanenko. & B, Munier., 2012. "Price as a choice under nonstochastic randomness in finance," Working papers 381, Banque de France.
    21. Gerber, Hans U. & Shiu, Elias S. W., 1996. "Actuarial bridges to dynamic hedging and option pricing," Insurance: Mathematics and Economics, Elsevier, vol. 18(3), pages 183-218, November.

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