Risk-neutral valuation with infinitely many trading dates
نویسندگان
چکیده
The first Fundamental Theorem of Asset Pricing establishes the equivalence between the absence of arbitrage in financial markets 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.
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ورودعنوان ژورنال:
- Mathematical and Computer Modelling
دوره 45 شماره
صفحات -
تاریخ انتشار 2007