Market viability via absence of arbitrage of the first kind

作者：Kardaras Constantinos^*

来源：Finance and Stochastics, 2012, 16(4): 651-667.

DOI：10.1007/s00780-012-0172-5

• Arbitrage of the first kind
• Cheap thrills
• Fundamental theorem of asset pricing
• Equivalent local martingale deflators
• Semimartingales
• Predictable characteristics

It is shown that, in a semimartingale financial market model, there is equivalence between absence of arbitrage of the first kind (a weak viability condition) and the existence of a strictly positive process that acts as a local martingale deflator on nonnegative wealth processes.

• 出版日期2012-10