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Infinitely many securities and the fundamental theorem of asset pricing

dc.affiliation.dptoUC3M. Departamento de Economía de la Empresaes
dc.contributor.authorBalbás, Alejandro
dc.contributor.authorDownarowicz, Anna
dc.date.accessioned2006-11-15T15:54:14Z
dc.date.available2006-11-15T15:54:14Z
dc.date.issued2004-08
dc.description.abstractSeveral authors have pointed out the possible absence of martingale measures for static arbitrage-free markets with an infinite number of available securities. This paper addresses this caveat by drawing on projective systems of probability measures. Firstly, it is shown that there are two distinct sorts of models whose treatment is necessarily different. Secondly, and more important, we analyze those situations for which one can provide a projective system of ó .additive measures whose projective limit may be interpreted as a risk-neutral probability. Hence, the Fundamental Theorem of Asset Pricing is extended so that it can apply for models with infinitely many assets.
dc.format.extent579539 bytes
dc.format.mimetypeapplication/pdf
dc.identifier.repecwb043513
dc.identifier.urihttps://hdl.handle.net/10016/426
dc.language.isoeng
dc.relation.hasversionhttp://hdl.handle.net/10016/12972
dc.relation.ispartofseriesUC3M Working Papers. Bussiness Economics
dc.relation.ispartofseries2004-13
dc.rights.accessRightsopen access
dc.subject.ecienciaEmpresa
dc.titleInfinitely many securities and the fundamental theorem of asset pricing
dc.typeworking paper*
dspace.entity.typePublication
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