We give two examples showing that for unbounded continuous price processes, the no-free-lunch assumption and the existence of an equivalent martingale measure are not equivalent. In fact it turns out that the notion of an equivalent local martingale measure is natural in this context. Copyright 1994 Blackwell Publishers.
We formulate the notion of "asymptotic free lunch" which is closely related to the condition "free l...
We extend the Robust No Free Lunch (RNFL) theorem formulated for discrete-time models with proportio...
Abstract : We prove an L ∞ version of the Yan theorem and deduce from it a necessary condition for t...
Abstract. We investigate the existence of an absolutely continuous martingale measure. For continuou...
Abstract. The Fundamental Theorem of Asset Pricing states- roughly speaking-that the absence of arbi...
Abstract. The Fundamental Theorem of Asset Pricing states { roughly speaking { that the absence of a...
This paper addresses the equivalence between the absence of arbitrage and the existence of equivalen...
This paper addresses the equivalence between the absence of arbitrage and the existence of equivalen...
Abstract. This paper addresses the equivalence between the absence of arbitrage and the existence of...
International audienceThis paper studies foundational issues in securities markets models with fixed...
This paper studies foundational issues in securities markets models with fixed costs of trading, i.e...
We present a version of the Fundamental Theorem of Asset Pricing and of the Hedging Theorem for secu...
We introduce the notion of a Market Free Lunch that depends on the preferences of all agents partici...
We construct a continuous bounded stochastic process ("S" t,)" 1E[0,1] " which admits an equivalent ...
absence of arbitrage implies that there exists a linear functional that values all con-tingent claim...
We formulate the notion of "asymptotic free lunch" which is closely related to the condition "free l...
We extend the Robust No Free Lunch (RNFL) theorem formulated for discrete-time models with proportio...
Abstract : We prove an L ∞ version of the Yan theorem and deduce from it a necessary condition for t...
Abstract. We investigate the existence of an absolutely continuous martingale measure. For continuou...
Abstract. The Fundamental Theorem of Asset Pricing states- roughly speaking-that the absence of arbi...
Abstract. The Fundamental Theorem of Asset Pricing states { roughly speaking { that the absence of a...
This paper addresses the equivalence between the absence of arbitrage and the existence of equivalen...
This paper addresses the equivalence between the absence of arbitrage and the existence of equivalen...
Abstract. This paper addresses the equivalence between the absence of arbitrage and the existence of...
International audienceThis paper studies foundational issues in securities markets models with fixed...
This paper studies foundational issues in securities markets models with fixed costs of trading, i.e...
We present a version of the Fundamental Theorem of Asset Pricing and of the Hedging Theorem for secu...
We introduce the notion of a Market Free Lunch that depends on the preferences of all agents partici...
We construct a continuous bounded stochastic process ("S" t,)" 1E[0,1] " which admits an equivalent ...
absence of arbitrage implies that there exists a linear functional that values all con-tingent claim...
We formulate the notion of "asymptotic free lunch" which is closely related to the condition "free l...
We extend the Robust No Free Lunch (RNFL) theorem formulated for discrete-time models with proportio...
Abstract : We prove an L ∞ version of the Yan theorem and deduce from it a necessary condition for t...
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