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On the existence and characterization of arbitrage-free measures in contingent claim valuation. (English) Zbl 0806.60050

Various interesting relationships linking certain equivalent martingale measures are worked out. Equivalent martingale measures of the sort treated here arise in mathematical models of capital markets whose construction rests heavily on the assumption that no profits can be obtained on the basis of arbitrage-opportunities. The application of stochastic analysis to mathematical models of capital markets attracts currently a great deal of attention.
Reviewer: G.Gomez (Erlangen)

MSC:

60H30 Applications of stochastic analysis (to PDEs, etc.)
91B99 Mathematical economics
60G44 Martingales with continuous parameter
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References:

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