Price uniqueness and fundamental theorem of asset pricing with finitely additive probabilities

DOI10.1080/17442508.2013.763808zbMath1398.60003OpenAlexW2042031064MaRDI QIDQ2875260

Patrizia Berti, Pietro Rigo, Luca Pratelli

Publication date: 14 August 2014

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2013.763808

zbMATH Keywords

equivalent martingale measurefundamental theorem of asset pricingfinitely additive probabilityprice uniqueness

Mathematics Subject Classification ID

Probabilistic measure theory (60A10) Axioms; other general questions in probability (60A05) Portfolio theory (91G10) Integration theory via linear functionals (Radon measures, Daniell integrals, etc.), representing set functions and measures (28C05)

Related Items (1)

A unifying view on some problems in probability and statistics

Cites Work

• Martingales and arbitrage in multiperiod securities markets
• Arbitrage and equilibrium in economies with infinitely many commodities
• A general version of the fundamental theorem of asset pricing
• Convergence in distribution of nonmeasurable random elements.
• The mathematics of arbitrage
• On the fundamental theorem of asset pricing with an infinite state space
• Finitely Additive Probabilities and the Fundamental Theorem of Asset Pricing
• Stochastic Finance
• Characterizing Attainable Claims: A New Proof
• Equivalent martingale measures and no-arbitrage in stochastic securities market models
• A Martingale Representation Result and an Application to Incomplete Financial Markets

This page was built for publication: Price uniqueness and fundamental theorem of asset pricing with finitely additive probabilities