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Wiley InterScience | ||||||||||||||
  Mathematical FinanceVolume 4 Issue 4, Pages 343 - 348 Published Online: 6 Dec 2006 © 2010 Wiley Periodicals, Inc.
Abstract | References | Full Text: PDF (Size: 358K) | Related Articles | Citation Tracking  ARBITRAGE AND FREE LUNCH WITH BOUNDED RISK FOR UNBOUNDED CONTINUOUS PROCESSES Copyright 1994 Blackwell Publishers KEYWORDS martingale • risk-neutral measure • local martingale • no free lunch • arbitrage • bounded risk • Bessel process ABSTRACTWe give two examples showing that for unbounded continuous price processes, the no-free-lunch assumption and the existence of an equivalent martingale measure are not equivalent. In fact it turns out that the notion of an equivalent local martingale measure is natural in this context. Manuscript received July 1992; final revision received December 1993. | 
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