Yan theorem in \(L^{\infty}\) with applications to asset pricing

DOI10.1007/s10255-007-0394zbMath1133.91408OpenAlexW2102316509MaRDI QIDQ2480082

Gianluca Cassese

Publication date: 31 March 2008

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10255-007-0394

zbMATH Keywords

martingale measurearbitragefundamental theorem of asset pricingfree lunchyan theorem

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items

Fundamental theorem of asset pricing with acceptable risk in markets with frictions, No-arbitrage concepts in topological vector lattices, A unifying view on some problems in probability and statistics

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