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Published in:
2000 | OriginalPaper | Chapter
Arbitrage and Equivalent Martingale Measures
Authors : Gopinath Kallianpur, Rajeeva L. Karandikar
Published in: Introduction to Option Pricing Theory
Publisher: Birkhäuser Boston
Included in: Professional Book Archive
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As we have seen in the discrete case, the NA property plays a central role in option pricing and in discrete time; it is equivalent to the existence of an equivalent martingale measure. We will explore this relation and show that a suitable extension of the NA property is equivalent to NA.