Arbitrage Theory for Frictionless Markets

Yuri Kabanov () and Mher Safarian ()
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Yuri Kabanov: Univerisité de Franche-Comté
Mher Safarian: Landesbank Baden-Württemberg (LBBW)

Chapter 2 in Markets with Transaction Costs, 2009, pp 71-104 from Springer

Abstract: Abstract The classical result by Dalang–Morton–Willinger, usually abbreviated as DMW and sometimes referred to as the Fundamental Theory of Asset (or Arbitrage) Pricing (FTAP) for the discrete finite-time model of a frictionless financial market, says: There is no arbitrage if and only if there is an equivalent martingale measure.

Keywords: Price Process; Contingent Claim; Martingale Measure; Local Martingale; Arbitrage Opportunity (search for similar items in EconPapers)
Date: 2009
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DOI: 10.1007/978-3-540-68121-2_2

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