Ausencia de arbitraje, medidas equivalentes y teorema fundamental de valoración
Absence of Arbitrage, equivalent measures and the Fundamental Theorem of asset pricing
Barra lateral del artículo
PDF
FLIP
HTML
Cómo citar
[1]
Zapata Quimbayo, C.A. 2017. Ausencia de arbitraje, medidas equivalentes y teorema fundamental de valoración. ODEON. 13 (may 2017), 7–30. DOI:https://doi.org/10.18601/17941113.n13.02.
Sección
Artículos
Contenido principal del artículo
Resumen
Este trabajo identifica las principales contribuciones de Stephen Ross a la definición de los principios básicos del teorema fundamental de valoración de activos (TFVA), así como sus aplicaciones y extensiones. Al establecer la equivalencia entre la ausencia de arbitraje y la existencia de una regla de valoración lineal de activos, Ross formula los principios básicos de un enfoque de valoración que conserva las características esenciales del modelo de Black-Scholes-Merton, pero desde un enfoque más simple e intuitivo.
Descargas
Los datos de descargas todavía no están disponibles.
Detalles del artículo
Referencias / Ver
Arrow, K. (1964). The role of securities in the optimal allocation of riskbearing. The Review of Economic Studies, 31(2), 91-96.
Artzner, P. y Heath, D. (1995). Approximate completeness with multiple martingale measures. Mathematical Finance, 5(1), 1-11.
Bachelier, L. (1900). Théorie de la Spéculation. Annales scientiques de l’ École Normale Supérieure, 17, 21-86. English translation in: The Random Character of stock market prices (P. Cootner, editor), MIT Press.
Back, K. y Pliska, S. (1991). On the fundamental theorem of asset pricing with an infinite state space. Journal of Mathematical Economics, 20(1), 1-18.
Balbás, A., Mirás, M. y Muñoz, M. (2002). Projective system approach to the martingale characterization of the absence of arbitrage. Journal of Mathematical Economics, 37(4), 311-323.
Brown, D. y Werner, J. (1995). Arbitrage and existence of equilibrium in infinite asset markets. The Review of Economic Studies, 62(1), 101-114.
Black, F. y Scholes, M. (1973). The pricing of options and corporate liabilities. Journal of Political Economy, 81(3), 637-659.
Cox, J. y Ross, S. (1976). The valuation of options for alternative stochastic processes. Journal of Financial Economics, 3(1), 145-166.
Cox, J., Ross, S. y Rubinstein, M. (1979). Option pricing: A simplified approach. Journal of Financial Economics, 7(3), 229-263.
Dalang, R., Morton, A. y Willinger, W. (1990). Equivalent martingale measures and no-arbitrage in stochastic securities market model. International Journal of Probability and Stochastic Processes, 29(2), 185-201.
Delbaen, F. y Schachermayer, W. (1994). A general version of the Fundamental Theorem of asset pricing. Mathematische Annalen, 300(1), 463-520.
Delbaen, F. y Schachermayer, W. (1995). The no-arbitrage condition under a change of numéraire. Stochastics and Stochastic Reports, 53(3-4), 213-226.
Delbaen, F. y Schachermayer, W. (1998). The Fundamental Theorem of asset pricing for unbounded Stochastic processes. Mathematische Annalen, 312(1), 215-250.
Delbaen, F. y Schachermayer, W. (2006). The Mathematics of Arbitrage. Berlin: Springer Finance.
Dybvig, P. y Ross, S. (1987). Arbitrage. En: Eatwell, J., Milgate, M. y Newman, P. (eds.), The new Palgrave dictionary of economics, vol. 1. London: Macmillan.
Fernholz, E. y Karatzas, I. (2009). Stochastic portfolio theory: An overview. En Bensoussan, A. y Zhang, Q. (eds.), Handbook of numerical analysis, special volume: Mathematical Modelling and Numerical Methods in Finance. New York: Elsevier.
Fontana, C. (2015). Weak and strong no-arbitrage conditions for continuous financial markets. International Journal of Theoretical and Applied Finance, 18(1), 1-34.
Fontana, C. y Runggaldier,W. (2013). Diffusion-based models for financial markets without martingale measures. En Risk Measures and Attitudes, 45-81. London: Springer.
Guasoni, P., R´asonyi, M. y Schachermayer,W. (2010). The fundamental theorem of asset pricing for continuous processes under small transaction costs. Annals of Finance, 6(2), 157-191.
Harrison, J. y Kreps, D. (1979). Martingales and Arbitrage in multiperiod securities markets. Journal of Economic Theory, 20(3), 381-408.
Harrison, J. y Pliska, S. (1981). Martingales and Stochastic integrals in the Theory of continuous trading. Stochastic Processes and their Applications, 11(3), 215-260.
Harrison, J. y Pliska, S. (1983). A stochastic calculus model of continuous trading: Complete markets. Stochastic Processes and their Applications, 15(3), 313-316.
Jacod, J. y Shiryaev, A. (1998). Local martingales and the fundamental asset pricing theorems in the discrete time. Finance and Stochastics, 3(2), 259-273.
Johnson, T. (2017). Ethics in Quantitative Finance. Edinburgh: Palgrave Macmillan. Kabanov, Y. y Kramkov, D. (1994). No-arbitrage and equivalent martingale measures: An elementary proof of the Harrison-Pliska theorem. Theory of Probability and its Applications, 39(3), 523-527.
Kabanov, Y., Rásonyi, M. y Stricker, C. (2002). No-arbitrage criteria for financial markets with efficient friction. Finance and Stochastics, 6(3), 371-382.
Karatzas, I. y Kardaras, C. (2007). The numéraire portfolio in semimartingale financial models. Finance and Stochastics, 11(4), 447-493.
Kreps, D. (1981). Arbitrage and equilibrium in Economics with infinitely many Commodities. Journal of Mathematical Economics, 8(1), 15-35.
Lintner, J. (1965). The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. The Review of Economics and Statistics, 47(1), 13-37.
Lewis, K. (2013). A simple proof of the fundamental theorem of asset pricing. Documento de trabajo. Recuperado de http://kalx.net/ftapd.pdf
Merton, R. (1973). The theory of rational option pricing. The Bell Journal of Economics and Management Science, 4(1), 141-183.
Mossin, J. (1966). Equilibrium in a capital asset market. Econometrica: Journal of the Econometric Society, 34(1), 768-783.
Platen, E. y Heath, D. (2006). A Benchmark Approach to Quantitative Finance. Sidney: Springer.
Ross, S. (1976). The arbitrage theory of capital asset pricing. Journal of Economic Theory, 13(3), 341-360.
Ross, S. (1977). Return, risk and arbitrage. En: Rodney, L. Risk and Return in Finance, Vol. 1, 189-218. Pennyslvania: White Center for Financial Research, The Wharton School, University of Pennyslvania.
Ross, S. (1978). A simple approach to the valuation of risky streams. Journal of Business, 51(1), 453-475.
Ross, S. (2005). Neoclassical finance. New Jersey: Princeton University Press.
Rubinstein, M. (1976). The valuation of uncertain income streams and the pricing of options. Bell Journal of Economics and Management Science, 7(2), 407-425.
Sharpe, W. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. The Journal of Finance, 19(3), 425-442.
Schachermayer, W. (1992). A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time. Insurance: Mathematics and Economics, 11(4), 249-257.
Schachermayer,W. (1994). Martingale measures for discrete time processes with infinite horizon. Mathematical Finance, 4(1), 25-56.
Schwartz, E. y Trigeorgis, L. (2004). Real Options and Investment Under Uncertainty: Classical Readings and Recent Contributions. Cambridge: MIT press.
Artzner, P. y Heath, D. (1995). Approximate completeness with multiple martingale measures. Mathematical Finance, 5(1), 1-11.
Bachelier, L. (1900). Théorie de la Spéculation. Annales scientiques de l’ École Normale Supérieure, 17, 21-86. English translation in: The Random Character of stock market prices (P. Cootner, editor), MIT Press.
Back, K. y Pliska, S. (1991). On the fundamental theorem of asset pricing with an infinite state space. Journal of Mathematical Economics, 20(1), 1-18.
Balbás, A., Mirás, M. y Muñoz, M. (2002). Projective system approach to the martingale characterization of the absence of arbitrage. Journal of Mathematical Economics, 37(4), 311-323.
Brown, D. y Werner, J. (1995). Arbitrage and existence of equilibrium in infinite asset markets. The Review of Economic Studies, 62(1), 101-114.
Black, F. y Scholes, M. (1973). The pricing of options and corporate liabilities. Journal of Political Economy, 81(3), 637-659.
Cox, J. y Ross, S. (1976). The valuation of options for alternative stochastic processes. Journal of Financial Economics, 3(1), 145-166.
Cox, J., Ross, S. y Rubinstein, M. (1979). Option pricing: A simplified approach. Journal of Financial Economics, 7(3), 229-263.
Dalang, R., Morton, A. y Willinger, W. (1990). Equivalent martingale measures and no-arbitrage in stochastic securities market model. International Journal of Probability and Stochastic Processes, 29(2), 185-201.
Delbaen, F. y Schachermayer, W. (1994). A general version of the Fundamental Theorem of asset pricing. Mathematische Annalen, 300(1), 463-520.
Delbaen, F. y Schachermayer, W. (1995). The no-arbitrage condition under a change of numéraire. Stochastics and Stochastic Reports, 53(3-4), 213-226.
Delbaen, F. y Schachermayer, W. (1998). The Fundamental Theorem of asset pricing for unbounded Stochastic processes. Mathematische Annalen, 312(1), 215-250.
Delbaen, F. y Schachermayer, W. (2006). The Mathematics of Arbitrage. Berlin: Springer Finance.
Dybvig, P. y Ross, S. (1987). Arbitrage. En: Eatwell, J., Milgate, M. y Newman, P. (eds.), The new Palgrave dictionary of economics, vol. 1. London: Macmillan.
Fernholz, E. y Karatzas, I. (2009). Stochastic portfolio theory: An overview. En Bensoussan, A. y Zhang, Q. (eds.), Handbook of numerical analysis, special volume: Mathematical Modelling and Numerical Methods in Finance. New York: Elsevier.
Fontana, C. (2015). Weak and strong no-arbitrage conditions for continuous financial markets. International Journal of Theoretical and Applied Finance, 18(1), 1-34.
Fontana, C. y Runggaldier,W. (2013). Diffusion-based models for financial markets without martingale measures. En Risk Measures and Attitudes, 45-81. London: Springer.
Guasoni, P., R´asonyi, M. y Schachermayer,W. (2010). The fundamental theorem of asset pricing for continuous processes under small transaction costs. Annals of Finance, 6(2), 157-191.
Harrison, J. y Kreps, D. (1979). Martingales and Arbitrage in multiperiod securities markets. Journal of Economic Theory, 20(3), 381-408.
Harrison, J. y Pliska, S. (1981). Martingales and Stochastic integrals in the Theory of continuous trading. Stochastic Processes and their Applications, 11(3), 215-260.
Harrison, J. y Pliska, S. (1983). A stochastic calculus model of continuous trading: Complete markets. Stochastic Processes and their Applications, 15(3), 313-316.
Jacod, J. y Shiryaev, A. (1998). Local martingales and the fundamental asset pricing theorems in the discrete time. Finance and Stochastics, 3(2), 259-273.
Johnson, T. (2017). Ethics in Quantitative Finance. Edinburgh: Palgrave Macmillan. Kabanov, Y. y Kramkov, D. (1994). No-arbitrage and equivalent martingale measures: An elementary proof of the Harrison-Pliska theorem. Theory of Probability and its Applications, 39(3), 523-527.
Kabanov, Y., Rásonyi, M. y Stricker, C. (2002). No-arbitrage criteria for financial markets with efficient friction. Finance and Stochastics, 6(3), 371-382.
Karatzas, I. y Kardaras, C. (2007). The numéraire portfolio in semimartingale financial models. Finance and Stochastics, 11(4), 447-493.
Kreps, D. (1981). Arbitrage and equilibrium in Economics with infinitely many Commodities. Journal of Mathematical Economics, 8(1), 15-35.
Lintner, J. (1965). The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. The Review of Economics and Statistics, 47(1), 13-37.
Lewis, K. (2013). A simple proof of the fundamental theorem of asset pricing. Documento de trabajo. Recuperado de http://kalx.net/ftapd.pdf
Merton, R. (1973). The theory of rational option pricing. The Bell Journal of Economics and Management Science, 4(1), 141-183.
Mossin, J. (1966). Equilibrium in a capital asset market. Econometrica: Journal of the Econometric Society, 34(1), 768-783.
Platen, E. y Heath, D. (2006). A Benchmark Approach to Quantitative Finance. Sidney: Springer.
Ross, S. (1976). The arbitrage theory of capital asset pricing. Journal of Economic Theory, 13(3), 341-360.
Ross, S. (1977). Return, risk and arbitrage. En: Rodney, L. Risk and Return in Finance, Vol. 1, 189-218. Pennyslvania: White Center for Financial Research, The Wharton School, University of Pennyslvania.
Ross, S. (1978). A simple approach to the valuation of risky streams. Journal of Business, 51(1), 453-475.
Ross, S. (2005). Neoclassical finance. New Jersey: Princeton University Press.
Rubinstein, M. (1976). The valuation of uncertain income streams and the pricing of options. Bell Journal of Economics and Management Science, 7(2), 407-425.
Sharpe, W. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. The Journal of Finance, 19(3), 425-442.
Schachermayer, W. (1992). A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time. Insurance: Mathematics and Economics, 11(4), 249-257.
Schachermayer,W. (1994). Martingale measures for discrete time processes with infinite horizon. Mathematical Finance, 4(1), 25-56.
Schwartz, E. y Trigeorgis, L. (2004). Real Options and Investment Under Uncertainty: Classical Readings and Recent Contributions. Cambridge: MIT press.
