2017/09/26 by Délia Coculescu, Coculescu, Delia, Monique Jeanblanc +1
Decision Sciences · Economics, Econometrics and Finance · #Economic theories and models #FOS: Economics and business #Financial Markets and Investment Strategies #Financial Risk and Volatility Modeling #Mathematical Finance (q-fin.MF) #Risk and Portfolio Optimization #Stochastic processes and financial applications
paper · pdf · doi:10.48550/arxiv.1709.09252
openalex publication_date 2017/09/26 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
Under short sales prohibitions, no free lunch with vanishing risk (NFLVR-S)\nis known to be equivalent to the existence of an equivalent supermartingale\nmeasure for the price processes (Pulido [22]). For two given price processes,\nwe translate the property (NFLVR-S) in terms of so called structure conditions\nand we introduce the concept of fundamental supermartingale measure. When a\ncertain condition necessary to the construction of the fundamental martingale\nmeasure is not fulfilled, we provide the corresponding arbitrage portfolios.\nThe motivation of our study lies in understanding the particular case of\nconverging prices, i.e., that are going to cross at a bounded random time.\n