Risk-neutral valuation with infinitely many trading dates

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dc.contributor.author Balbás, Alejandro
dc.contributor.author Balbás, Raquel
dc.contributor.author Mayoral, Silvia
dc.date.accessioned 2012-03-28T18:09:22Z
dc.date.available 2012-03-28T18:09:22Z
dc.date.issued 2007-06
dc.identifier.bibliographicCitation Mathematical and Computer Modelling, 2007, v. 45, nº 11-12, pp. 1308-1318
dc.identifier.issn 0895-7177
dc.identifier.uri http://hdl.handle.net/10016/13981
dc.description.abstract The 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.sponsorship This 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.format.mimetype application/pdf
dc.language.iso eng
dc.publisher Elsevier
dc.rights ©Elsevier
dc.subject.other Lyapunov theorem
dc.subject.other Asset pricing
dc.subject.other Martingale measure
dc.subject.other Projective system
dc.subject.other Sharpe ratio
dc.title Risk-neutral valuation with infinitely many trading dates
dc.type article
dc.description.status Publicado
dc.relation.publisherversion http://dx.doi.org/10.1016/j.mcm.2006.11.002
dc.subject.eciencia Empresa
dc.identifier.doi 10.1016/j.mcm.2006.11.002
dc.rights.accessRights openAccess
dc.type.version acceptedVersion
dc.identifier.publicationfirstpage 1308
dc.identifier.publicationissue 11-12
dc.identifier.publicationlastpage 1318
dc.identifier.publicationtitle Mathematical and Computer Modelling
dc.identifier.publicationvolume 45
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