Arbitrage theory without a num\'eraire

Michael R. Tehranchi

Papers from arXiv.org

Abstract: This note develops an arbitrage theory for a discrete-time market model without the assumption of the existence of a num\'eraire asset. Fundamental theorems of asset pricing are stated and proven in this context. The distinction between the notions of investment-consumption arbitrage and pure-investment arbitrage provide a discrete-time analogue of the distinction between the notions of absolute arbitrage and relative arbitrage in the continuous-time theory. Applications to the modelling of bubbles is discussed.

Date: 2014-10, Revised 2015-07
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Citations: View citations in EconPapers (1)

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