A note on arbitrage in term structure

Rásonyi, Miklós

doi:10.1007/s10203-007-0075-7

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2010

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“…However, the goal in this study is to show that the set of equivalent σ‐martingale measures with density in is dense (in total variation) in the set of equivalent σ‐martingale measures. See also Rásonyi (2008).…”

Section: Introductionmentioning

confidence: 99%

Lower and Upper Bounds of Martingale Measure Densities in Continuous Time Markets

Nunno

Eide

2010

Mathematical Finance

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In a continuous time market model we consider the problem of existence of an equivalent martingale measure with density lying within given lower and upper bounds and we characterize a necessary and sufficient condition for this. In this sense our main result can be regarded as a version of the fundamental theorem of asset pricing. In our approach we suggest an axiomatic description of prices on L p -spaces (with p ∈ [1, ∞)) and we rely on extension theorems for operators.

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Section: Introductionmentioning

confidence: 99%