Equivalent martingale measures for large financial markets in discrete time

Miklós Rásonyi ()

Mathematical Methods of Operations Research, 2003, vol. 58, issue 3, 415 pages

Abstract: We show that in a discrete-time large financial market the absence of certain asymptotic arbitrage opportunities is equivalent to the existence of martingale measures in a strong sense. We also consider the Arbitrage Pricing Model with stable random variables where we are able to give explicit necessary and sufficient conditions using market parameters. Copyright Springer-Verlag 2003

Keywords: Large financial market; Asymptotic arbitrage; Martingale measures; APM; Stable random variables (search for similar items in EconPapers)
Date: 2003
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DOI: 10.1007/s001860300306

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