Market viability via absence of arbitrage of the first kind
Kardaras, Constantinos
(2012)
Market viability via absence of arbitrage of the first kind.
Finance and Stochastics, 16 (4).
pp. 651-667.
ISSN 0949-2984
It is shown that, in a semimartingale financial market model, 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.
| Item Type | Article |
|---|---|
| Keywords | arbitrage of the first kind,cheap thrills,fundamental theorem of asset pricing,equivalent local martingale deflators,semimartingales,predictable characteristics |
| Departments | Statistics |
| DOI | 10.1007/s00780-012-0172-5 |
| Date Deposited | 30 Jul 2012 13:32 |
| URI | https://researchonline.lse.ac.uk/id/eprint/44995 |
ORCID: https://orcid.org/0000-0001-6903-4506