Projective System Approach to the Martingale Characterization of the Absence of Arbitrage

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dc.contributor.author Balbás, Alejandro
dc.contributor.author Mirás, Miguel Ángel
dc.contributor.author Muñoz-Bouzo, María José
dc.date.accessioned 2010-01-15T11:33:23Z
dc.date.available 2010-01-15T11:33:23Z
dc.date.issued 2002-07
dc.identifier.bibliographicCitation Journal of Mathematical Economics, 2002, vol. 37, nº. 4, p. 311-327.
dc.identifier.issn 0304-4068
dc.identifier.uri http://hdl.handle.net/10016/6444
dc.description.abstract The 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 perfect measure spaces, we characterize the absence of arbitrage when the time set is countable.
dc.format.mimetype application/pdf
dc.language.iso eng
dc.publisher Elsevier
dc.rights ©Elsevier Science
dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.other Absence of arbitrage
dc.subject.other Martingale measure
dc.subject.other Asset pricing
dc.subject.other Perfect measures
dc.subject.other Projective systems
dc.title Projective System Approach to the Martingale Characterization of the Absence of Arbitrage
dc.type article
dc.type.review PeerReviewed
dc.description.status Publicado
dc.relation.publisherversion http://dx.doi.org/10.1016/S0304-4068(02)00036-8
dc.subject.eciencia Empresa
dc.identifier.doi 10.1016/S0304-4068(02)00036-8
dc.rights.accessRights openAccess
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