The existence of dominating local martingale measures
نویسندگان
چکیده
We prove that, for locally bounded processes, absence of arbitrage opportunities of the first kind is equivalent to the existence of a dominating local martingale measure. This is related to and motivated by results from the theory of filtration enlargements.
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ورودعنوان ژورنال:
- Finance and Stochastics
دوره 19 شماره
صفحات -
تاریخ انتشار 2015