Existence of equivalent local martingale deflators in semimartingale market models

Eckhard Platen; Stefan Tappe

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arXiv · 2006.01572

Existence of equivalent local martingale deflators in semimartingale market models

Eckhard Platen·Stefan Tappe

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Abstract

This paper offers a systematic investigation on the existence of equivalent local martingale deflators, which are multiplicative special semimartingales, in financial markets given by positive semimartingales. In particular, it shows that the existence of such deflators can be characterized by means of the modified semimartingale characteristics. Several examples illustrate our results. Furthermore, we provide interpretations of the deflators from an economic point of view.

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Eckhard Platen, Stefan Tappe. 2020-06-02. Existence of equivalent local martingale deflators in semimartingale market models. https://arxiv.org/abs/2006.01572

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