Abstract
No free lunch with vanishing risk (NFLVR) is known to be equivalent to the existence of an equivalent martingale measure for the price process semimartingale. We give necessary conditions for such a semimartingale to have the property NFLVR. We also extend Novikov’s criterion for the stochastic exponential of a local martingale to be a martingale to the general case; that is, the case where the paths need not be continuous.
Information
Published: 1 January 2008
First available in Project Euclid: 28 January 2009
zbMATH: 1179.60022
Digital Object Identifier: 10.1214/074921708000000426
Rights: Copyright © 2008, Institute of Mathematical Statistics
