Market viability via absence of arbitrage of the first kind
classification
💱 q-fin.PR
math.PRq-fin.CP
keywords
absencearbitragefirstkindmarketviabilityactscondition
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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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