Yan Theorem in L Infinity and Asset Pricing
Posted: 11 Jan 2005
We prove an L infinity version of Yan theorem and deduce from it a necessary condition for the absence of free lunches in a model of financial markets in which asset prices follow a continuous process and only elementary investment strategies are admissible.
Keywords: Arbitrage, Asset pricing, Free lunch, Fundamental theorem of asset pricing, Martingale measure, Semimartingales, Yan theorem
JEL Classification: G12
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