RT Journal Article
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 martingalemeasures for static arbitrage free markets with an infinite number of availablesecurities. Accordingly, the literature constructs martingale measures by generalizingthe concept of arbitrage (free lunch, free lunch with bounded risk,etc.) or introducing the theory of large financial markets. This paper doesnot modify the definition of arbitrage and addresses the caveat by drawingon projective systems of probability measures. Thus we analyze those situationsfor which one can provide a projective system of σ−additive measureswhose projective limit may be interpreted as a risk-neutral probability of anarbitrage free market. Hence the Fundamental Theorem of Asset Pricing isextended so that it can apply for models with infinitely many assets.
PB Springer
SN 1660-5446
YR 2007
FD 2007-10
LK https://hdl.handle.net/10016/12972
UL https://hdl.handle.net/10016/12972
LA eng
NO Partially funded by the Spanish Ministry of Science and Education (ref: BEC2003 − 09067 −C04 − 03) and Comunidad Autónoma de Madrid (ref: s − 0505/tic/000230).
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RD 25 may. 2024