General Arbitrage Pricing Model: I – Probability Approach

DOI10.1007/978-3-540-71189-6_23MaRDI QIDQ5423766zbMATH 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_23

zbMATH Keywords

change of numérairefair pricefundamental theorem of asset pricinggeneral arbitrage pricing modelgeneralized arbitragemartingale measuremartingale measure with given marginalsrisk-neutral measureset of attainable incomes

Mathematics Subject Classification ID

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

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Cited in

(23)

• Arbitrage pricing of contingent claims
• Consistent price systems and arbitrage opportunities of~the~second kind in models with transaction costs
• Deterministic criteria for the absence of arbitrage in~one-dimensional diffusion models
• On absolute continuity and singularity of multidimensional diffusions
• No arbitrage in continuous financial markets
• A comparison of two no-arbitrage conditions
• A guaranteed deterministic approach to superhedging: no arbitrage properties of the market
• NO-FREE-LUNCH EQUIVALENCES FOR EXPONENTIAL LÉVY MODELS UNDER CONVEX CONSTRAINTS ON INVESTMENT
• The range of derivative's arbitrage prices in a general incomplete market
• Pricing by Arbitrage Under Arbitrary Information
• Deterministic criteria for the absence and existence of arbitrage in multi-dimensional diffusion markets
• scientific article; zbMATH DE number 2166259 (Why is no real title available?)
• Arbitrage in continuous complete markets
• Arbitrage and pricing in a general model with flows
• DYNAMIC CONIC FINANCE: PRICING AND HEDGING IN MARKET MODELS WITH TRANSACTION COSTS VIA DYNAMIC COHERENT ACCEPTABILITY INDICES
• Sparse calibrations of contingent claims
• A guaranteed deterministic approach to superhedging: no arbitrage market condition
• General Arbitrage Pricing Model: II – Transaction Costs
• General Arbitrage Pricing Model: III – Possibility Approach
• Pricing general risky assets under real probability measure
• Envelopes of equivalent martingale measures and a generalized no-arbitrage principle in a finite setting
• Criteria for the absence of arbitrage in one-dimensional general diffusion markets
• Weighted V\@R and its properties

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