No-arbitrage and state price deflators in a general continuous time framework

Elyès Jouini (), Clotilde Napp and Walter Schachermayer
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Walter Schachermayer: TU Wien

Finance from University Library of Munich, Germany

Abstract: In securities markets, the characterisation of the absence of arbitrage by the existence of state price deflators is generally obtained through the use of the Kreps-Yan theorem. This paper deals with the validity of this theorem in a general framework. We apply this results to the characterization of the no-arbitrage assumption in a general intertemporal framework.

Keywords: Arbitrage; Kreps-Yan theorem (search for similar items in EconPapers)
JEL-codes: G (search for similar items in EconPapers)
Pages: 18 pages
Date: 2003-12-05
New Economics Papers: this item is included in nep-fin
Note: Type of Document - pdf; prepared on Win98; pages: 18
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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpfi:0312003

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