RT Journal Article
T1 Risk-neutral valuation with infinitely many trading dates
A1 Balbás, Alejandro
A1 Balbás, Raquel
A1 Mayoral, Silvia
AB The first Fundamental Theorem of Asset Pricing establishes the equivalence between the absence of arbitrage in financialmarkets 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.
PB Elsevier
SN 0895-7177
YR 2007
FD 2007-06
LK https://hdl.handle.net/10016/13981
UL https://hdl.handle.net/10016/13981
LA eng
NO 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.
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RD 27 jul. 2024