An alternative axiomatic characterisation of pricing operators

DOI10.1017/JPR.2016.78MaRDI QIDQ2956524zbMATH OpenOpenAlexFDO

Authors Stefan Kassberger, Thomas Liebmann

Publication date 17 January 2017

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.jap/1481132850

zbMATH Keywords

axiomatic characterisationconditional expectationmartingalepricing operator

Mathematics Subject Classification ID

Representation theory of linear operators (47A67) Applications of operator theory to differential and integral equations (47N20) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cited in

(1)

• Additive portfolio improvement and utility-efficient payoffs

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