CINECA IRIS Institutional Research Information System
IRIS è la soluzione IT che facilita la raccolta e la gestione dei dati relativi alle attività e ai prodotti della ricerca. Fornisce a ricercatori, amministratori e valutatori gli strumenti per monitorare i risultati della ricerca, aumentarne la visibilità e allocare in modo efficace le risorse disponibili.
EnglishA numeraire is a portfolio that, when securities, prices and dividends are expressed in its units, admits an equivalent martingale measure transforming any gain process into a martingale. We show that the set of equivalent martingale measures of a numeraire is one-to-one with a subset of Arrow-Debreu state prices, which becomes the whole set if and only if the numeraire is self-financing. Hence our result extends those (e.g. Harrison and Kreps (Journal of Economic Theory, 1979, 20, 381-408) Dothan (Prices in Financial Markets, Oxford Univ. Press, New York, 1990)) stated for specific self-financing numeraires. We also identify markets admitting self-financing numeraires, and characterize completeness, in terms of equivalent martingale measures, without requiring that specific securities be traded.
PRODOTTO NON ANCORA VALIDATO
Attenzione! I dati visualizzati non sono stati sottoposti a validazione da parte dell'ateneo
| Titolo: | Numeraires, equivalent martingale measures and completeness in finite dimensional securities markets |
| Data di pubblicazione: | 1997 |
| Autori: | |
| Autori: | Girotto, Bruno; Ortu, Fulvio |
| Rivista: | JOURNAL OF MATHEMATICAL ECONOMICS |
| Abstract: | A numeraire is a portfolio that, when securities, prices and dividends are expressed in its units, admits an equivalent martingale measure transforming any gain process into a martingale. We show that the set of equivalent martingale measures of a numeraire is one-to-one with a subset of Arrow-Debreu state prices, which becomes the whole set if and only if the numeraire is self-financing. Hence our result extends those (e.g. Harrison and Kreps (Journal of Economic Theory, 1979, 20, 381-408) Dothan (Prices in Financial Markets, Oxford Univ. Press, New York, 1990)) stated for specific self-financing numeraires. We also identify markets admitting self-financing numeraires, and characterize completeness, in terms of equivalent martingale measures, without requiring that specific securities be traded. |
| Codice identificativo Scopus: | 2-s2.0-0031116701 |
| Codice identificativo ISI: | WOS:A1997WZ58500003 |
| Appare nelle tipologie: | 01 - Article in academic journal / Articolo su rivista Scientifica |
File in questo prodotto:
http://hdl.handle.net/11565/51837
Copyright © 2021