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Risk-neutral valuation with infinitely many trading dates

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dc.affiliation.dptoUC3M. Departamento de Economía de la Empresaes
dc.contributor.authorBalbás, Alejandro
dc.contributor.authorBalbás, Raquel
dc.contributor.authorMayoral, Silvia
dc.date.accessioned2012-03-28T18:09:22Z
dc.date.available2012-03-28T18:09:22Z
dc.date.issued2007-06
dc.description.abstractThe first Fundamental Theorem of Asset Pricing establishes the equivalence between the absence of arbitrage in financial markets and the existence of Equivalent Martingale Measures, if appropriate conditions hold. Since the theorem may fail when dealing with infinitely many trading dates, this paper draws on the A.A. Lyapunov Theorem in order to retrieve the equivalence for complete markets such that the Sharpe Ratio is adequately bounded.
dc.description.sponsorshipThis research was partially supported by "Comunidad Autónoma de Madrid" (Spain), Grants 06/HSE/0150/2004 and s–0505/ittic/000230, and MEyC (Spain), Grant BEC2000–1388–C04–03.
dc.description.statusPublicado
dc.format.mimetypeapplication/pdf
dc.identifier.bibliographicCitationMathematical and Computer Modelling, 2007, v. 45, nº 11-12, pp. 1308-1318
dc.identifier.doi10.1016/j.mcm.2006.11.002
dc.identifier.issn0895-7177
dc.identifier.publicationfirstpage1308
dc.identifier.publicationissue11-12
dc.identifier.publicationlastpage1318
dc.identifier.publicationtitleMathematical and Computer Modelling
dc.identifier.publicationvolume45
dc.identifier.urihttps://hdl.handle.net/10016/13981
dc.language.isoeng
dc.publisherElsevier
dc.relation.publisherversionhttp://dx.doi.org/10.1016/j.mcm.2006.11.002
dc.rights©Elsevier
dc.rights.accessRightsopen access
dc.subject.ecienciaEmpresa
dc.subject.otherLyapunov theorem
dc.subject.otherAsset pricing
dc.subject.otherMartingale measure
dc.subject.otherProjective system
dc.subject.otherSharpe ratio
dc.titleRisk-neutral valuation with infinitely many trading dates
dc.typeresearch article*
dc.type.hasVersionAM*
dspace.entity.typePublication
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