The Existence of Dominating Local Martingale Measures

Abstract

We prove that, for locally bounded processes, absence of arbitrage opportunities of the first kind is equivalent to the existence of a dominating local martingale measure. This is related to and motivated by results from the theory of filtration enlargements.

32 pages; revised version

References in corpus (2)

• Strict local martingales and bubbles
• On the Hedging of Options On Exploding Exchange Rates

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