No arbitrage in discrete time under portfolio constraints

Mathematical Finance

Volumn 11, Issue 3, 2001, Pages 315-329

  Carassus, Laurence ^a   Pham, Huye^n ^a   Touzi, Nizar ^b  

^a UNIVERSITÉ PARIS DESCARTES   (France)

^b UNIVERSITÉ PARIS 1 PANTHÉON SORBONNE   (France)

Author keywords

Arbitrage; Convex portfolio constraints; Fundamental theorem of asset pricing; Stochastic process; Superreplication cost

Indexed keywords

EID: 0041027085     PISSN: 09601627     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9965.00117     Document Type: Article

References (17)

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