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


  • Elyès Jouini


  • Clotilde Napp

    (Dauphine & CREST)

  • Walter Schachermayer

    (TU Wien)


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.

Suggested Citation

  • Elyès Jouini & Clotilde Napp & Walter Schachermayer, 2003. "No-arbitrage and state price deflators in a general continuous time framework," Finance 0312003, EconWPA.
  • Handle: RePEc:wpa:wuwpfi:0312003
    Note: Type of Document - pdf; prepared on Win98; pages: 18

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    Arbitrage; Kreps-Yan theorem;

    JEL classification:

    • G - Financial Economics

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