Arbitrage Pricing Theory

Robert Jarrow ()

Chapter Chapter 19 in Continuous-Time Asset Pricing Theory, 2021, pp 401-404 from Springer

Abstract: Abstract This chapter studies the modifications needed due to the introduction of trading constraints in Chap. 2 . Most, but not all of the three fundamental theorems of asset pricing extend with trading constraints. The set-up begins with a normalized market S , 𝔽 , ℙ $$\left (S,\mathbb {F},\mathbb {P}\right )$$ subject to trading constraints where the money market account B t = 1 for all t ≥ 0.

Date: 2021
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DOI: 10.1007/978-3-030-74410-6_19

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