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The Basic Arbitrage Theorem

In: Arbitrage

Author

Listed:
  • Michael Allingham

    (University of Kent)

Abstract

This chapter formalises some of the concepts introduced in Chapter 1 and uses these to establish the basic arbitrage theorem, that in the absence of arbitrage security prices may be expressed as expected discounted values.

Suggested Citation

  • Michael Allingham, 1991. "The Basic Arbitrage Theorem," Palgrave Macmillan Books, in: Arbitrage, chapter 2, pages 17-44, Palgrave Macmillan.
    • Handle: RePEc:pal:palchp:978-1-349-21385-6_2
    DOI: 10.1007/978-1-349-21385-6_2
    as

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