Corpus ID: 218595709

The fundamental theorem of asset pricing for self-financing portfolios

  title={The fundamental theorem of asset pricing for self-financing portfolios},
  author={Eckhard Platen and Stefan Tappe},
  journal={arXiv: Mathematical Finance},
Consider a financial market with nonnegative semimartingales which does not need to have a numeraire. We are interested in the absence of arbitrage in the sense that no self-financing portfolio gives rise to arbitrage opportunities, where we are allowed to add a savings account to the market. We will prove that in this sense the market is free of arbitrage if and only if there exists an equivalent local martingale deflator which is a multiplicative special semimartingale. In this case, the… Expand
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