On the fundamental theorem of asset pricing with an infinite state space
From MaRDI portal
Publication:2641205
An example is given of a securities market in which there are no arbitrage opportunities - moreover, a risk-neutral agent facing a nonnegative wealth constraint has an optimal trading strategy - yet there is no equivalent martingale measure and no state price density. This failure of the ``Fundamental Theorem of Asset Pricing is due to the fact that the pricing operator for \(L^{\infty}\) claims is not countably additive - it is a finitely additive measure with a nontrivial purely finitely additive component. Some new sufficient conditions are given for this measure to be countably additive.
Recommendations
- Infinitely many securities and the fundamental theorem of asset pricing
- The second fundamental theorem of asset pricing
- Risk-neutral valuation with infinitely many trading dates
- Finitely Additive Probabilities and the Fundamental Theorem of Asset Pricing
- Arbitrage pricing theory and risk-neutral measures
Cites work
- A simple approach to arbitrage pricing theory
- Arbitrage and equilibrium in economies with infinitely many commodities
- Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
- Finitely Additive Measures
- scientific article; zbMATH DE number 3137662 (Why is no real title available?)
- scientific article; zbMATH DE number 3861790 (Why is no real title available?)
- scientific article; zbMATH DE number 4004523 (Why is no real title available?)
- scientific article; zbMATH DE number 3301983 (Why is no real title available?)
- Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-Lived Securities
- Information structure and equilibrium asset prices
- Information structures and viable price systems
- Martingales and arbitrage in multiperiod securities markets
- Martingales and stochastic integrals in the theory of continuous trading
- Multiperiod security markets with differential information
- The Price Equilibrium Existence Problem in Topological Vector Lattices
Cited in
(56)- Efficient funds for meager asset spaces
- Martingale densities for general asset prices
- A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time
- Arbitrage, martingales and bubbles
- A general version of the fundamental theorem of asset pricing
- Numeraires, equivalent martingale measures and completeness in finite dimensional securities markets
- Actuarial bridges to dynamic hedging and option pricing
- Profitability in a multiple strategy market
- Rational equilibrium asset-pricing bubbles in continuous trading models
- A computational approach to the fundamental theorem of asset pricing in a single-period market
- Arbitrage pricing theory and risk-neutral measures
- On the law of one price
- Projective system approach to the martingale characterization of the absence of arbitrage
- Viable prices in financial markets with solvency constraints
- On the existence of equivalent -measures in finite discrete time
- Term structure modeling and asymptotic long rate
- On an aggregate state-price deflator in a multi-period market model
- Infinitely many securities and the fundamental theorem of asset pricing
- Risk-neutral valuation with infinitely many trading dates
- Competitive prices for a stochastic input-output model with infinite time horizon
- Yan theorem in \(L^{\infty}\) with applications to asset pricing
- Pricing currency options under two-factor Markov-modulated stochastic volatility models
- The second fundamental theorem of asset pricing
- Pricing functionals and pricing measures
- Arbitrage theory with state-price deflators
- Price uniqueness and fundamental theorem of asset pricing with finitely additive probabilities
- Option valuation with a discrete-time double Markovian regime-switching model
- Finitely Additive Probabilities and the Fundamental Theorem of Asset Pricing
- ARBITRAGE IN SECURITIES MARKETS WITH SHORT-SALES CONSTRAINTS
- Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching
- ASSET PRICING WITH NO EXOGENOUS PROBABILITY MEASURE
- Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model
- REPRESENTING MARTINGALE MEASURES WHEN ASSET PRICES ARE CONTINUOUS AND BOUNDED
- A Counterexample to Several Problems In the Theory of Asset Pricing
- MARTINGALE MEASURES FOR DISCRETE‐TIME PROCESSES WITH INFINITE HORIZON
- CONTINGENT CLAIMS VALUED AND HEDGED BY PRICING AND INVESTING IN A BASIS
- On the Existence of Minimax Martingale Measures
- Dynamic Arbitrage-Free Asset Pricing with Proportional Transaction Costs
- Equivalent martingale measures and no-arbitrage
- Equivalent martingale measures and no-arbitrage
- Option pricing under autoregressive random variance models
- OPTION PRICING FOR GARCH MODELS WITH MARKOV SWITCHING
- Efficient Factor Models For Yield Curve Dynamics
- Catastrophe Risk Bonds
- Risk-neutral pricing and hedging of in-play football bets
- Pricing issues with investment flows. Applications to market models with frictions
- An approach to the absence of price bubbles through state-price deflators
- The valuation problem in arbitrage price theory
- Finitely additive equivalent martingale measures
- Equivalent locally martingale measure for the deflator process on ordered Banach algebra
- Asset pricing for general processes
- The structure of the distributions of cash flows and discount rates in multiperiod valuation problems
- On valuing participating life insurance contracts with conditional heteroscedasticity
- A game theoretic approach to option valuation under Markovian regime-switching models
- Pricing exotic options under a high-order Markovian regime switching model
- On option pricing under a completely random measure via a generalized Esscher transform
This page was built for publication: On the fundamental theorem of asset pricing with an infinite state space
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2641205)
