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Projective system approach to the martingale characterization of the absence of arbitrage

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dc.affiliation.dptoUC3M. Departamento de Economía de la Empresaes
dc.contributor.authorBalbás, Alejandro
dc.contributor.authorMirás, Miguel Ángel
dc.contributor.authorMuñoz-Bouzo, María José
dc.date.accessioned2006-11-07T09:14:17Z
dc.date.available2006-11-07T09:14:17Z
dc.date.issued2001-03
dc.description.abstractThe equivalence between the absence of arbitrage and the existence of an equivalent martingale measure fails when an infinite number of trading dates is considered. By enlarging the set of states of nature and the probability measure through a projective system of topological spaces and Radon measures, we characterize the absence of arbitrage when the time set is countable.
dc.format.extent183401 bytes
dc.format.mimetypeapplication/pdf
dc.identifier.repecwb011505
dc.identifier.urihttps://hdl.handle.net/10016/55
dc.language.isoeng
dc.relation.ispartofseriesWorkings Paper. Bussiness Economics
dc.relation.ispartofseries2001-05
dc.rights.accessRightsopen access
dc.subject.ecienciaEmpresa
dc.titleProjective system approach to the martingale characterization of the absence of arbitrage
dc.typeworking paper*
dspace.entity.typePublication
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