Equivalent martingale measures for large financial markets in discrete time

被引：5

作者：

Rásonyi, M ^{[1
]}

机构：

[1] Hungarian Acad Sci, Inst Comp & Automat, H-1111 Budapest, Hungary

来源：

MATHEMATICAL METHODS OF OPERATIONS RESEARCH | 2003年 / 58卷 / 03期

关键词：

large financial market; asymptotic arbitrage; martingale measures; APM; stable random variables;

D O I：

10.1007/s001860300306

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

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.

引用

页码：401 / 415

页数：15

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