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Mathematical Finance
Volumn 14, Issue 3, 2004, Pages 351-357
Some remarks on arbitrage and preferences in securities market models
Author keywords

Arbitrage; Free lunch; Free lunch with vanishing risk; Fundamental Theorem of Asset Pricing; Martingale measure; Securities market models; Utility maximization; Viability
Indexed keywords

EID: 3142767391     PISSN: 09601627     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.0960-1627.2004.00194.x     Document Type: Article
Times cited : (10)
References (7)
  • 1
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    • (2002) Math. Finance , vol.12 , pp. 1-21
    • Bellini, F.1    Frittelli, M.2
  • 2
    • 0000916023 scopus 로고
    • Equivalent martingale measures and no arbitrage in stochastic securities market models
    • DALANG, R. C., A. MORTON, and W. WILLINGER (1990): Equivalent Martingale Measures and No Arbitrage in Stochastic Securities Market Models, Stock. Stock. Rep. 29, 185-201.
    • (1990) Stock. Stock. Rep. , vol.29 , pp. 185-201
    • Dalang, R.C.1    Morton, A.2    Willinger, W.3
  • 3
    • 0001249935 scopus 로고
    • A general version of the fundamental theorem of asset pricing
    • DELBAEN, F., and W. SCHACHERMAYER (1994): A General Version of the Fundamental Theorem of Asset Pricing, Math. Annalen 300, 463-520.
    • (1994) Math. Annalen , vol.300 , pp. 463-520
    • Delbaen, F.1    Schachermayer, W.2
  • 4
    • 0032339523 scopus 로고    scopus 로고
    • The fundamental theorem of asset pricing for unbounded stochastic processes
    • DELBAEN, F., and W. SCHACHERMAYER (1998): The Fundamental Theorem of Asset Pricing for Unbounded Stochastic Processes, Math. Annalen 312, 215-250.
    • (1998) Math. Annalen , vol.312 , pp. 215-250
    • Delbaen, F.1    Schachermayer, W.2
  • 5
    • 0000161881 scopus 로고
    • Almost sure characterization of martingales
    • FRITTELLI, M., and P. LAKNER (1994): Almost Sure Characterization of Martingales, Stoch. Stoch. Rep. 49, 181-190.
    • (1994) Stoch. Stoch. Rep. , vol.49 , pp. 181-190
    • Frittelli, M.1    Lakner, P.2
  • 6
    • 41649091143 scopus 로고
    • Martingales and stochastic integrals in the theory of continuous trading
    • HARRISON, J. M., and S. R. PLISKA (1981): Martingales and Stochastic Integrals in the Theory of Continuous Trading, Stock. Process. Appl. 11, 215-260.
    • (1981) Stock. Process. Appl. , vol.11 , pp. 215-260
    • Harrison, J.M.1    Pliska, S.R.2
  • 7
    • 0003105093 scopus 로고
    • Arbitrage and equilibrium in economies with infinitely many commodities
    • KREPS, D. M. (1981): Arbitrage and Equilibrium in Economies with Infinitely Many Commodities, J. Math. Econ. 8, 15-35.
    • (1981) J. Math. Econ. , vol.8 , pp. 15-35
    • Kreps, D.M.1

* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.