Arbitrage pricing theory and risk-neutral measures
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Volume (Year): 27 (2004)
Issue (Month): 2 (December)
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- W. Schachermayer, 1994. "Martingale Measures For Discrete-Time Processes With Infinite Horizon," Mathematical Finance, Wiley Blackwell, vol. 4(1), pages 25-55.
- Admati, Anat R. & Pfleiderer, Paul, 1985. "Interpreting the factor risk premia in the arbitrage pricing theory," Journal of Economic Theory, Elsevier, vol. 35(1), pages 191-195, February.
- Kreps, David M., 1981. "Arbitrage and equilibrium in economies with infinitely many commodities," Journal of Mathematical Economics, Elsevier, vol. 8(1), pages 15-35, March.
- Huberman, Gur, 1982. "A simple approach to arbitrage pricing theory," Journal of Economic Theory, Elsevier, vol. 28(1), pages 183-191, October.
- 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.
- Y.M. Kabanov & D.O. Kramkov, 1998. "Asymptotic arbitrage in large financial markets," Finance and Stochastics, Springer, vol. 2(2), pages 143-172.
- Marzia De Donno, 2004. "A note on completeness in large financial markets," Mathematical Finance, Wiley Blackwell, vol. 14(2), pages 295-315.
- Irene Klein, 2000. "A Fundamental Theorem of Asset Pricing for Large Financial Markets," Mathematical Finance, Wiley Blackwell, vol. 10(4), pages 443-458.
- Ross, Stephen A., 1976. "The arbitrage theory of capital asset pricing," Journal of Economic Theory, Elsevier, vol. 13(3), pages 341-360, December.
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