The fundamental theorem of asset pricing under default and collateral in finite discrete time (Q2492986): Difference between revisions

In this work, the authors provide a general framework to the proving of the fundamental theorem of asset pricing so that they can deal with the problem of pricing defaultable securities backed by exogenous collateral where the uncertainty is modelled by a finite event-tree. The methodology used in this paper follows \textit{W. Schachermayer} [Insur. Math. Econ. 11, No. 4, 249--257 (1992; Zbl 0781.90010)]. But the proof of the crucial result on no arbitrage condition does not use the technique of convex combinations that was used by Schachermayer.