Ausencia de arbitraje, medidas equivalentes y teorema fundamental de valoración

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...

Full description

Autores:: Zapata Quimbayo, Carlos Andrés

Tipo de recurso:: Article of journal

Fecha de publicación:: 2018

Institución:: Universidad Externado de Colombia

Repositorio:: Biblioteca Digital Universidad Externado de Colombia

Idioma:: spa

id	uexternad2_5cb830b351302f469375f7361c0018a1
oai_identifier_str	oai:bdigital.uexternado.edu.co:001/7671
network_acronym_str	uexternad2
network_name_str	Biblioteca Digital Universidad Externado de Colombia
repository_id_str
dc.title.spa.fl_str_mv	Ausencia de arbitraje, medidas equivalentes y teorema fundamental de valoración
dc.title.translated.eng.fl_str_mv	Absence of Arbitrage, equivalent measures and the Fundamental Theorem of asset pricing
title	Ausencia de arbitraje, medidas equivalentes y teorema fundamental de valoración
spellingShingle	Ausencia de arbitraje, medidas equivalentes y teorema fundamental de valoración arbitraje valoración de activos medida martingala equivalente. Arbitrage asset pricing equivalent martingale measure.
title_short	Ausencia de arbitraje, medidas equivalentes y teorema fundamental de valoración
title_full	Ausencia de arbitraje, medidas equivalentes y teorema fundamental de valoración
title_fullStr	Ausencia de arbitraje, medidas equivalentes y teorema fundamental de valoración
title_full_unstemmed	Ausencia de arbitraje, medidas equivalentes y teorema fundamental de valoración
title_sort	Ausencia de arbitraje, medidas equivalentes y teorema fundamental de valoración
dc.creator.fl_str_mv	Zapata Quimbayo, Carlos Andrés
dc.contributor.author.none.fl_str_mv	Zapata Quimbayo, Carlos Andrés
dc.subject.spa.fl_str_mv	arbitraje valoración de activos medida martingala equivalente.
topic	arbitraje valoración de activos medida martingala equivalente. Arbitrage asset pricing equivalent martingale measure.
dc.subject.eng.fl_str_mv	Arbitrage asset pricing equivalent martingale measure.
description	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.
publishDate	2018
dc.date.accessioned.none.fl_str_mv	2018-05-09 00:00:00 2022-09-08T13:40:32Z
dc.date.available.none.fl_str_mv	2018-05-09 00:00:00 2022-09-08T13:40:32Z
dc.date.issued.none.fl_str_mv	2018-05-09
dc.type.spa.fl_str_mv	Artículo de revista
dc.type.coar.fl_str_mv	http://purl.org/coar/resource_type/c_2df8fbb1
dc.type.coar.spa.fl_str_mv	http://purl.org/coar/resource_type/c_6501 http://purl.org/coar/resource_type/c_6501
dc.type.coarversion.spa.fl_str_mv	http://purl.org/coar/version/c_970fb48d4fbd8a85
dc.type.content.spa.fl_str_mv	Text
dc.type.driver.spa.fl_str_mv	info:eu-repo/semantics/article
dc.type.local.eng.fl_str_mv	Journal article
dc.type.redcol.spa.fl_str_mv	http://purl.org/redcol/resource_type/ARTREF
dc.type.version.spa.fl_str_mv	info:eu-repo/semantics/publishedVersion
format	http://purl.org/coar/resource_type/c_6501
status_str	publishedVersion
dc.identifier.doi.none.fl_str_mv	10.18601/17941113.n13.02
dc.identifier.eissn.none.fl_str_mv	2346-2140
dc.identifier.issn.none.fl_str_mv	1794-1113
dc.identifier.uri.none.fl_str_mv	https://bdigital.uexternado.edu.co/handle/001/7671
dc.identifier.url.none.fl_str_mv	https://doi.org/10.18601/17941113.n13.02
identifier_str_mv	10.18601/17941113.n13.02 2346-2140 1794-1113
url	https://bdigital.uexternado.edu.co/handle/001/7671 https://doi.org/10.18601/17941113.n13.02
dc.language.iso.spa.fl_str_mv	spa
language	spa
dc.relation.bitstream.none.fl_str_mv	https://revistas.uexternado.edu.co/index.php/odeon/article/download/5336/6518 https://revistas.uexternado.edu.co/index.php/odeon/article/download/5336/6700
dc.relation.citationedition.spa.fl_str_mv	Núm. 13 , Año 2017 : Julio-Diciembre
dc.relation.citationendpage.none.fl_str_mv	30
dc.relation.citationissue.spa.fl_str_mv	13
dc.relation.citationstartpage.none.fl_str_mv	7
dc.relation.ispartofjournal.spa.fl_str_mv	Odeon
dc.relation.references.spa.fl_str_mv	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.
dc.rights.accessrights.spa.fl_str_mv	info:eu-repo/semantics/openAccess
dc.rights.coar.spa.fl_str_mv	http://purl.org/coar/access_right/c_abf2
dc.rights.uri.spa.fl_str_mv	https://creativecommons.org/licenses/by-nc-sa/4.0/
eu_rights_str_mv	openAccess
rights_invalid_str_mv	http://purl.org/coar/access_right/c_abf2 https://creativecommons.org/licenses/by-nc-sa/4.0/
dc.format.mimetype.spa.fl_str_mv	application/pdf text/html
dc.publisher.spa.fl_str_mv	Facultad de Finanzas, Gobierno y Relaciones Internacionales
dc.source.spa.fl_str_mv	https://revistas.uexternado.edu.co/index.php/odeon/article/view/5336
institution	Universidad Externado de Colombia
bitstream.url.fl_str_mv	https://bdigital.uexternado.edu.co/bitstreams/e6f21750-9526-4668-82da-868e6dd397af/download
bitstream.checksum.fl_str_mv	3bce965a3f5d52c975e39ab541037c99
bitstream.checksumAlgorithm.fl_str_mv	MD5
repository.name.fl_str_mv	Universidad Externado de Colombia
repository.mail.fl_str_mv	metabiblioteca@metabiblioteca.org
_version_	1828229660623765504
spelling	Zapata Quimbayo, Carlos Andrésvirtual::420-12018-05-09 00:00:002022-09-08T13:40:32Z2018-05-09 00:00:002022-09-08T13:40:32Z2018-05-09Este 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.This paper identifies the main contributions of Stephen Ross to the definition of the basic principles of the fundamental theorem of asset pricing (FTAP), as well as its applications and extensions. By establishing the equivalence between the absence of arbitrage and the existence of a linear asset pricing rule, Ross formulates the principles of a valuation approach that preserves the essential characteristics of the Black-Scholes model, but from a more imple and intuitive framework.application/pdftext/html10.18601/17941113.n13.022346-21401794-1113https://bdigital.uexternado.edu.co/handle/001/7671https://doi.org/10.18601/17941113.n13.02spaFacultad de Finanzas, Gobierno y Relaciones Internacionaleshttps://revistas.uexternado.edu.co/index.php/odeon/article/download/5336/6518https://revistas.uexternado.edu.co/index.php/odeon/article/download/5336/6700Núm. 13 , Año 2017 : Julio-Diciembre30137OdeonArrow, 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.pdfMerton, 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.info:eu-repo/semantics/openAccesshttp://purl.org/coar/access_right/c_abf2https://creativecommons.org/licenses/by-nc-sa/4.0/https://revistas.uexternado.edu.co/index.php/odeon/article/view/5336arbitrajevaloración de activosmedida martingala equivalente.Arbitrageasset pricingequivalent martingale measure.Ausencia de arbitraje, medidas equivalentes y teorema fundamental de valoraciónAbsence of Arbitrage, equivalent measures and the Fundamental Theorem of asset pricingArtículo de revistahttp://purl.org/coar/resource_type/c_6501http://purl.org/coar/resource_type/c_6501http://purl.org/coar/resource_type/c_2df8fbb1http://purl.org/coar/version/c_970fb48d4fbd8a85Textinfo:eu-repo/semantics/articleJournal articlehttp://purl.org/redcol/resource_type/ARTREFinfo:eu-repo/semantics/publishedVersionPublicationZapata Quimbayovirtual::420-1Carlos Andrésvirtual::420-1https://scholar.google.com/citations?user=HRLzkWMAAAAJ&hl=esvirtual::420-10000-0003-3337-0182virtual::420-145febcec-2de6-48ab-8e77-0efc1a2af467virtual::420-145febcec-2de6-48ab-8e77-0efc1a2af467virtual::420-1OREORE.xmltext/xml2565https://bdigital.uexternado.edu.co/bitstreams/e6f21750-9526-4668-82da-868e6dd397af/download3bce965a3f5d52c975e39ab541037c99MD51001/7671oai:bdigital.uexternado.edu.co:001/76712022-10-10 10:05:54.734https://creativecommons.org/licenses/by-nc-sa/4.0/https://bdigital.uexternado.edu.coUniversidad Externado de Colombiametabiblioteca@metabiblioteca.org

Ausencia de arbitraje, medidas equivalentes y teorema fundamental de valoración

Publicaciones similares