haku: @author Jarrow, R. / yhteensä: 10
viite: 3 / 10
| Tekijä: | Battig, R. Jarrow, R. |
| Otsikko: | The second fundamental theorem of asset pricing: a new approach |
| Lehti: | Review of Financial Studies
1999 : WINTER, VOL. 12:5, p. 1219-1235 |
| Asiasana: | FINANCE ASSETS PRICING |
| Kieli: | eng |
| Tiivistelmä: | This article presents a new definition of market completeness that is independent of the notions of no arbitrage and equivalent martingale measures. The authors' definition has many advantages. First, it preserves the Second Fundamental Theorem of Asset Pricing, even in complex economies. Second, under this definition, the market can be complete yet arbitrage opportunities exist. Third, under the assumption of no arbitrage and when used in the standard models, this definition is equivalent to the traditional one. |
SCIMA