Institute of Mathematics, Maria Curie-Skłodowska University, 20-031 Lublin, Poland
Bibliografia
[1] R. C. Dalang, A. Morton and W. Willinger, Equivalent martingale measures and no-arbitrage in stochastic securities market models, Stochastics Stochastics Rep. 29 (1990), 185-201.
[2] B. Girotto and F. Ortu, Existence of equivalent martingale measures in finite-dimensional securities markets, J. Econom. Theory 69 (1996), 262-277.
[3] J. M. Harrison and D. M. Kreps, Martingales and arbitrage in multiperiod securities markets, J. Econom. Theory 20 (1979), 381-408.
[4] J. M. Harrison and S. R. Pliska, % Martingales and stochastic integrals in the theory of continuous trading, Stochastic Process. Appl. 11 (1981), 215-260.
[5] E. Jouini and H. Kallal, Arbitrage in securities markets with short-sales constraints, Math. Finance 5 (1995), 197-232.
[6] E. Jouini and H. Kallal, Martingales and arbitrage in securities markets with transaction costs, J. Econom. Theory 66 (1995), 178-197.
[7] J. Kabanov and D. O. Kramkov, No arbitrage and equivalent martingale mea- sures$:$ An elementary proof of the Harrison-Pliska theorem, Theory Probab. Appl. 39 (1994), 523-526.
[8] H. Pham and N. Touzi, The fundamental theorem of asset pricing with cone constraints, J. Math. Econom. 31 (1999), 265-279.
[9] L. C. G. Rogers, Equivalent martingale measures and no-arbitrage, Stochastics Stochastics Rep. 51 (1994), 41-49.
[10] C. Stricker, Arbitrage et lois de martingale, Ann. Inst. H. Poincaré Probab. Statist. 26 (1990), 451-460.
Typ dokumentu
Bibliografia
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