Characterizing attainable claims: a new proof

DOI10.1239/JAP/1294170515MaRDI QIDQ3067842zbMATH OpenOpenAlexFDO

Authors Michael R. Tehranchi

Publication date 13 January 2011

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

Full work available at URL https://doi.org/10.1239/jap/1294170515

zbMATH Keywords

attainable contingent claimfundamental theorem of asset pricing

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42)

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Cites work

• A Martingale Representation Result and an Application to Incomplete Financial Markets
• Equivalent martingale measures and no-arbitrage
• Equivalent martingale measures and no-arbitrage in stochastic securities market models
• scientific article; zbMATH DE number 1619455 (Why is no real title available?)
• Local martingales and the fundamental asset pricing theorems in the discrete-time case
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• The fundamental theorem of asset pricing for unbounded stochastic processes
• The mathematics of arbitrage

Cited in

(3)

• Convex hedging of non-superreplicable claims in discrete-time market models
• Attainable claims with \(p\)'th moments
• Price uniqueness and fundamental theorem of asset pricing with finitely additive probabilities

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