A sufficient and necessary condition for arbitrage-free pricing
This paper derives a sufficient and necessary condition for arbitrage-free pricing, by the mathematical definition of linear dependency. It states that any pricing function that can be expressed as a linear combination of some of its partial derivatives inherently possesses the arbitrage-free property. This condition can serve as a quick 'reality check' to help search for arbitrage-free asset pricing.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 2 (1996)
Issue (Month): 3 ()
|Contact details of provider:|| Web page: http://www.tandfonline.com/REJF20 |
|Order Information:||Web: http://www.tandfonline.com/pricing/journal/REJF20|
When requesting a correction, please mention this item's handle: RePEc:taf:eurjfi:v:2:y:1996:i:3:p:289-295. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty)
If references are entirely missing, you can add them using this form.