The Existence of Dominating Local Martingale Measures

Peter Imkeller and Nicolas Perkowski

Papers from arXiv.org

Abstract: 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.

Date: 2011-11, Revised 2013-03
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1111.3885

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