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Projective System Approach to the Martingale Characterization of the Absence of Arbitrage

Balbás, Alejandro; Mirás, Miguel Ángel; Muñoz-Bouzo, María José
Fonte: Elsevier Publicador: Elsevier
Tipo: Artigo de Revista Científica Formato: application/pdf
Publicado em /07/2002 Português
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The equivalence between the absence of arbitrage and the existence of an equivalent martingale measure fails when an infinite number of trading dates is considered. By enlarging the set of states of nature and the probability measure through a projective system of perfect measure spaces, we characterize the absence of arbitrage when the time set is countable.