search query: @author Willard, G. / total: 3
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| Author: | Loewenstein, M. Willard, G. |
| Title: | Local martingales, arbitrage, and viability. Free snacks and cheap thrills |
| Journal: | Economic Theory
2000 : VOL. 16:1, p. 135-162 |
| Index terms: | ARBITRAGE FINANCIAL MARKETS MARTINGALES |
| Language: | eng |
| Abstract: | The authors revisit a standard model of security prices as Ito processes, and provide some new economic insights about the role of arbitrage and credit limits within such a model. The authors show that the standard assumptions of a positive state prices and existence of an equivalent martingale measure exclude prices that are viable models of competitive equilibrium and that are potentially useful for modeling actual financial markets. |
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