Title of article :
Arbitrage, martingales and bubbles
Author/Authors :
Christian Gilles، نويسنده , , Stephen F. LeRoy، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 1998
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
Journal title :
Economics Letters
