Risk-neutral valuation with infinitely many trading dates

نویسندگان

  • Alejandro Balbás
  • Raquel Balbás
  • Silvia Mayoral
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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عنوان ژورنال:
  • Mathematical and Computer Modelling

دوره 45  شماره 

صفحات  -

تاریخ انتشار 2007