The Existence of Absolutely Continuous Local Martingale Measures
Delbaen, Freddy ; Schachermayer, Walter
Ann. Appl. Probab., Tome 5 (1995) no. 4, p. 926-945 / Harvested from Project Euclid
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We investigate the existence of an absolutely continuous martingale measure. For continuous processes we show that the absence of arbitrage for general admissible integrands implies the existence of an absolutely continuous (not necessarily equivalent) local martingale measure. We also rephrase Radon-Nikodym theorems for predictable processes.
Publié le : 1995-11-14
Classification:  Arbitrage,  immediate arbitrage,  martingale,  local martingale,  equivalent martingale measure,  representing measure,  risk neutral measure,  stochastic integration,  mathematical finance,  predictable Radon-Nikodym derivative,  90A09,  60G44,  46N10,  47N10,  60H05,  60G40 
@article{1177004600,
     author = {Delbaen, Freddy and Schachermayer, Walter},
     title = {The Existence of Absolutely Continuous Local Martingale Measures},
     journal = {Ann. Appl. Probab.},
     volume = {5},
     number = {4},
     year = {1995},
     pages = { 926-945},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1177004600}
}

Delbaen, Freddy; Schachermayer, Walter. The Existence of Absolutely Continuous Local Martingale Measures. Ann. Appl. Probab., Tome 5 (1995) no. 4, pp.  926-945. http://gdmltest.u-ga.fr/item/1177004600/