Title of article
Arbitrage, martingales and bubbles
Author/Authors
Christian Gilles، نويسنده , , Stephen F. LeRoy، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 1998
Pages
6
From page
357
To page
362
Abstract
Viability of security prices implies linear valuation of payoffs but, if there exist an infinite number of securities or trading dates, does not imply the existence of a risk-neutral probability since countable additivity may fail. An example is given.
Keywords
Arbitrate , Martingale , Risk-neutral probability , Bubbles
Journal title
Economics Letters
Serial Year
1998
Journal title
Economics Letters
Record number
434632
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