Remarks on the true No-arbitrage Property View Full Text


Ontology type: schema:Chapter     


Chapter Info

DATE

2005

AUTHORS

Yuri Kabanov , Christophe Stricker

ABSTRACT

We discuss conditions of absence of arbitrage in the classical sense (the “true” NA property) for the model given by a family of continuous value processes. In particular, we obtain a criterion for the NA property in a market model with countably many securities with continuous price processes. This result generalizes the well-known criteria due to Levental-Skorohod and Delbaen-Schachermayer. More... »

PAGES

186-194

Book

TITLE

Séminaire de Probabilités XXXVIII

ISBN

978-3-540-23973-4
978-3-540-31449-3

Identifiers

URI

http://scigraph.springernature.com/pub.10.1007/978-3-540-31449-3_13

DOI

http://dx.doi.org/10.1007/978-3-540-31449-3_13

DIMENSIONS

https://app.dimensions.ai/details/publication/pub.1043497016


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