The Basic Arbitrage Theorem

Michael Allingham
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Michael Allingham: University of Kent

Chapter 2 in Arbitrage, 1991, pp 17-44 from Palgrave Macmillan

Abstract: Abstract This chapter formalises some of the concepts introduced in Chapter 1 and uses these to establish the basic arbitrage theorem, that in the absence of arbitrage security prices may be expressed as expected discounted values.

Keywords: Discount Factor; Equilibrium Price; Limited Liability; Basis Security; State Price (search for similar items in EconPapers)
Date: 1991
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Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-1-349-21385-6_2

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DOI: 10.1007/978-1-349-21385-6_2

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