General Arbitrage Pricing Model: III – Possibility Approach

DOI10.1007/978-3-540-71189-6_25MaRDI QIDQ5423768zbMATH OpenOpenAlexFDO

Authors

Publication date 31 October 2007

Published in Lecture Notes in Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-540-71189-6_25

zbMATH Keywords

fair pricefundamental theorem of asset pricinggeneral arbitrage pricing modelgeneralized arbitragepossibility spacerisk-neutral measureset of attainable incomesset of possible elementary eventstransaction costs

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• General Arbitrage Pricing Model: I – Probability Approach
• Arbitrage and pricing in a general model with flows
• General Arbitrage Pricing Model: II – Transaction Costs
• A General Approach to the Arbitrage Pricing Theory (APT)
• scientific article; zbMATH DE number 1129914
• scientific article; zbMATH DE number 1867103
• Arbitrage in a simple model with general transaction costs
• A Systematic Approach to Constructing Market Models with Arbitrage
• A generalized option pricing model

Cited in

(5)

• scientific article; zbMATH DE number 2166259 (Why is no real title available?)
• Arbitrage and pricing in a general model with flows
• Robust pricing and hedging of double no-touch options
• Trajectorial market models: arbitrage and pricing intervals
• General Arbitrage Pricing Model: I – Probability Approach

This page was built for publication: General Arbitrage Pricing Model: III – Possibility Approach

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5423768)