Back to Search
Start Over
On an aggregate state-price deflator in a multi-period market model
- Source :
- Japan Journal of Industrial and Applied Mathematics. 38:1063-1074
- Publication Year :
- 2021
- Publisher :
- Springer Science and Business Media LLC, 2021.
-
Abstract
- In this paper, we study arbitrage theory in a basic multi-period market model. Malamud and Trubowitz (Math Financ Econ 1(2): 129–161, 2007) used an aggregate state-price deflator and an orthogonal projection onto the payoff subspace to describe the recursive structure of optimal consumption streams. We present explicit expressions of these instruments. We also prove that the density process of a unique minimal martingale measure, with respect to an original measure, can be the aggregate state-price deflator in a market discounted by a numeraire.
Details
- ISSN :
- 1868937X and 09167005
- Volume :
- 38
- Database :
- OpenAIRE
- Journal :
- Japan Journal of Industrial and Applied Mathematics
- Accession number :
- edsair.doi...........894a0c641feefab43bb60b898a2a1564