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Market viability via absence of arbitrage of the first kind

  • Constantinos Kardaras
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    In a semimartingale financial market model, it is shown that there is equivalence between absence of arbitrage of the first kind (a weak viability condition) and the existence of a strictly positive process that acts as a local martingale deflator on nonnegative wealth processes.

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    File URL: http://arxiv.org/pdf/0904.1798
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    Paper provided by arXiv.org in its series Papers with number 0904.1798.

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    Date of creation: Apr 2009
    Date of revision: Jul 2010
    Handle: RePEc:arx:papers:0904.1798
    Contact details of provider: Web page: http://arxiv.org/

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    1. Schweizer, Martin, 1992. "Martingale densities for general asset prices," Journal of Mathematical Economics, Elsevier, vol. 21(4), pages 363-378.
    2. 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.
    3. Eckhard Platen, 2006. "A Benchmark Approach To Finance," Mathematical Finance, Wiley Blackwell, vol. 16(1), pages 131-151.
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