We investigate the existence of an absolutely continuous martingale measure. For continuous processes we show that the absence of arbitrage for general admissible integrands implies the existence of an absolutely continuous (not necessarily equivalent) local martingale measure. We also rephrase Radon-Nikodým theorems for predictable processes.
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© 2006 Springer-Verlag Berlin Heidelberg
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Delbaen, F., Schachermayer, W. (2006). The Existence of Absolutely Continuous Local Martingale Measures (1995). In: The Mathematics of Arbitrage. Springer Finance. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-31299-4_12
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DOI: https://doi.org/10.1007/978-3-540-31299-4_12
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-21992-7
Online ISBN: 978-3-540-31299-4
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