RT Generic
T1 Infinitely many securities and the fundamental theorem of asset pricing
A1 Balbás, Alejandro
A1 Downarowicz, Anna
AB Several 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.
YR 2004
FD 2004-08
LK https://hdl.handle.net/10016/426
UL https://hdl.handle.net/10016/426
LA eng
DS e-Archivo
RD 13 jun. 2024