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Equivalent martingale measures for large financial markets in discrete time

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Abstract.

We show that in a discrete-time large financial market the absence of certain asymptotic arbitrage opportunities is equivalent to the existence of martingale measures in a strong sense. We also consider the Arbitrage Pricing Model with stable random variables where we are able to give explicit necessary and sufficient conditions using market parameters.

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Authors and Affiliations

  1. Institute of the Hungarian, Academy of Sciences Computer and Automation, 13-17 Kende utca Budapest, 1111, Hungary

    Miklós Rásonyi

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  1. Miklós Rásonyi
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Correspondence to Miklós Rásonyi.

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Rásonyi, M. Equivalent martingale measures for large financial markets in discrete time. Math Meth Oper Res 58, 401–415 (2003). https://doi.org/10.1007/s001860300306

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  • DOI: https://doi.org/10.1007/s001860300306

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