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- W1538960037 abstract "In a continuous time market model we consider the problem of existence of an equivalent martingale measure with density lying within given lower and upper bounds and we characterize a necessary and sufficient condition for this. In this sense our main result can be regarded as a version of the fundamental theorem of asset pricing. In our approach we suggest an axiomatic description of prices on Lp-spaces (with p ∈[1, ∞)) and we rely on extension theorems for operators." @default.
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- W1538960037 date "2010-10-19" @default.
- W1538960037 modified "2023-09-27" @default.
- W1538960037 title "LOWER AND UPPER BOUNDS OF MARTINGALE MEASURE DENSITIES IN CONTINUOUS TIME MARKETS" @default.
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- W1538960037 doi "https://doi.org/10.1111/j.1467-9965.2010.00442.x" @default.
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