Finitely additive probabilities and the Fundamental Theorem of Asset Pricing

Constantinos Kardaras

Papers from arXiv.org

Abstract: This work aims at a deeper understanding of the mathematical implications of the economically-sound condition of absence of arbitrages of the first kind in a financial market. In the spirit of the Fundamental Theorem of Asset Pricing (FTAP), it is shown here that absence of arbitrages of the first kind in the market is equivalent to the existence of a finitely additive probability, weakly equivalent to the original and only locally countably additive, under which the discounted wealth processes become "local martingales". The aforementioned result is then used to obtain an independent proof of the FTAP of Delbaen and Schachermayer. Finally, an elementary and short treatment of the previous discussion is presented for the case of continuous-path semimartingale asset-price processes.

Date: 2009-11
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://arxiv.org/pdf/0911.5503 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:0911.5503

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().