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

Author

Listed:
  • Elyès Jouini

    (Dauphine)

  • Clotilde Napp

    (Dauphine & CREST)

  • Walter Schachermayer

    (TU Wien)

Abstract

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, University Library of Munich, Germany.
    • Handle: RePEc:wpa:wuwpfi:0312003
    Note: Type of Document - pdf; prepared on Win98; pages: 18
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    File URL: https://econwpa.ub.uni-muenchen.de/econ-wp/fin/papers/0312/0312003.pdf
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    Keywords

    Arbitrage; Kreps-Yan theorem;

    JEL classification:

    • G - Financial Economics

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