Market viability via absence of arbitrage of the first kind

Details Market viability via absence of arbitrage of the first kind Market viability via absence of arbitrage of the first kind

2009-04-11

arxiv.org/abs/0904.1798v4

Economy

Quantitative Finance

Pricing of Securities

15 pages. Updated, more self-contained version

Scientific paper

In a semimartingale financial market model, it is shown that there is
equivalence between absence of arbitrage of the first kind (a weak viability
condition) and the existence of a strictly positive process that acts as a
local martingale deflator on nonnegative wealth processes.

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