haku: @indexterm MARTINGALES / yhteensä: 5
viite: 3 / 5
| Tekijä: | Loewenstein, M. Willard, G. |
| Otsikko: | Local martingales, arbitrage, and viability. Free snacks and cheap thrills |
| Lehti: | Economic Theory
2000 : VOL. 16:1, p. 135-162 |
| Asiasana: | ARBITRAGE FINANCIAL MARKETS MARTINGALES |
| Kieli: | eng |
| Tiivistelmä: | 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. |
SCIMA