Notes on no-arbitrage criteria

Przemysław Rola

Notes on no-arbitrage criteria

Publication date: 05.06.2012

Universitatis Iagellonicae Acta Mathematica, 2011, Volume 49, pp. 59-71

https://doi.org/10.4467/20843828AM.12.004.0456

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Notes on no-arbitrage criteria

Abstract

We consider the closedness of the modified set of hedgeable claims and new conditions for the absence of arbitrage connected with it in the classical DalangMorton{Willinger Theorem.

References

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2. Kabanov Yu. M., Rsonyi M., Stricker Ch., No-arbitrage criteria for financial markets with effcient friction, Finance Stochast., 6 (2002), 371-382.

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4. Kabanov Yu. M., Stricker C., A teacher's note on no arbitrage criteria, Seminaire de Probabilites XXXV, Lect. Notes Math., 1755 (2001), 149-152.

5. Kabanov Yu. M., Stricker C., The Dalang{Morton{Willinger theorem under delayed and restricted information, Seminaire de Probabilites XXXIX, Memoriam Paul-Andre Meyer, Lect. Notes Math., 1874 (2006), 209-213.

Information

Information: Universitatis Iagellonicae Acta Mathematica, 2011, Volume 49, pp. 59-71

DOI: https://doi.org/10.4467/20843828AM.12.004.0456

Article type: Original article

Titles:

English:

Notes on no-arbitrage criteria

Polish:

Notes on no-arbitrage criteria

Authors

Przemysław Rola

https://orcid.org/0000-0003-2886-7151

Department of Mathematics of the Cracow University of Economics, Cracow, Poland

Published at: 05.06.2012

Article status: Open

Licence: None

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Przemysław Rola (Author) - 100%

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