Existence of equivalent Martingale measures in finite dimensional securities markets
成果类型：
Article
署名作者：
Girotto, B; Ortu, F
署名单位：
University of Chicago
刊物名称：
JOURNAL OF ECONOMIC THEORY
ISSN/ISSBN：
0022-0531
DOI：
10.1006/jeth.1996.0052
发表日期：
1996
页码：
262-277
关键词：
摘要：
Given the information structure and the number of securities, we characterize the set of all price-dividend systems for which there exist a dynamic portfolio with strictly positive value through time, and a strictly positive probability Q such that, expressing prices and dividends in units of such portfolio, every gain process is a Q-martingale. We also weaken our characterization by showing that the existence of a trading strategy with strictly positive terminal payoffs only is generically sufficient for the existence of an equivalent martingale measure. Finally, an example shows that our results robustely extend the current literature on the topic. (C) 1996 Academic Press, Inc.