The Existence of Absolutely Continuous Local Martingale Measures (1995)

Freddy Delbaen () and Walter Schachermayer ()
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Freddy Delbaen: ETH Zürich
Walter Schachermayer: Technische Universität Wien

Chapter 12 in The Mathematics of Arbitrage, 2006, pp 231-250 from Springer

Abstract: We investigate the existence of an absolutely continuous martingale measure. For continuous processes we show that the absence of arbitrage for general admissible integrands implies the existence of an absolutely continuous (not necessarily equivalent) local martingale measure. We also rephrase Radon-Nikodým theorems for predictable processes.

Date: 2006
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DOI: 10.1007/978-3-540-31299-4_12

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