How non-arbitrage, viability and numéraire portfolio are related

Author:

Choulli Tahir,Deng Jun,Ma Junfeng

Publisher

Springer Science and Business Media LLC

Subject

Statistics, Probability and Uncertainty,Finance,Statistics and Probability

Reference44 articles.

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3. Arrow, K.J., Debreu, G.: Existence of an equilibrium for a competitive economy. Econometrica, 265–290 (1954)

4. Artzner, P.: On the numéraire portfolio. In: Dempster, M.A.H., Pliska, S.R. (eds.) Mathematics of Derivative Securities, pp. 53–60. Cambridge University Press, Cambridge (1997)

5. Becherer, D.: The numéraire portfolio for unbounded semimartingales. Finance Stoch. 5, 327–341 (2001)

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