Making no-arbitrage discounting-invariant: a new FTAP version beyond NFLVR and NUPBR

DOI10.3934/FMF.2021010zbMATH Open1498.91411OpenAlexW4285124277MaRDI QIDQ2170298FDOQ2170298

Authors: Yanyan Li 

Publication date: 30 August 2022

Published in: Frontiers of Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/fmf.2021010

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zbMATH Keywords

Black-Scholes modeldiscountingsemimartingalesabsence of arbitrageNFLVRdynamic share viabilityNUPBR\( \sigma \)-martingale discounterFTAPmaximal strategiesshare maximal

Mathematics Subject Classification ID

Financial markets (91G15) Generalizations of martingales (60G48)

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Cited In (5)

• A new look at some basic concepts in arbitrage pricing theory
• Properly discounted asset prices are semimartingales
• A stochastic control perspective on term structure models with roll-over risk
• No arbitrage and multiplicative special semimartingales
• No-arbitrage in a numéraire-independent modeling framework

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