| Article ID: | iaor2005972 |
| Country: | Germany |
| Volume: | 58 |
| Issue: | 3 |
| Start Page Number: | 401 |
| End Page Number: | 415 |
| Publication Date: | Jan 2003 |
| Journal: | Mathematical Methods of Operations Research (Heidelberg) |
| Authors: | Rsonyi M. |
We show that in a discrete-time large financial market the absence of certain asymptotic arbitrage opportunities is equivalent to the existence of martingale measures in a strong sense. We also consider the Arbitrage Pricing Model with stable random variables where we are able to give explicit necessary and sufficient conditions using market parameters.