ASSET PRICING WITH NO EXOGENOUS PROBABILITY MEASURE

DOI10.1111/J.1467-9965.2007.00321.XzbMATH Open1138.91424OpenAlexW2151517529MaRDI QIDQ3502124FDOQ3502124

Authors: Gianluca Cassese 

Publication date: 22 May 2008

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

Full work available at URL: http://doc.rero.ch/record/12752/files/cassese_MF_2008.pdf

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Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Actuarial science and mathematical finance (91G99)

Cites Work

• The pricing of options and corporate liabilities
• An Intertemporal Capital Asset Pricing Model
• Martingales and arbitrage in multiperiod securities markets
• A general version of the fundamental theorem of asset pricing
• An Introduction to Banach Space Theory
• Title not available (Why is that?)
• Case-Based Decision Theory
• Asset pricing for general processes
• On general minimax theorems
• Martingales and stochastic integrals in the theory of continuous trading
• A stochastic calculus model of continuous trading: Complete markets
• Martingale densities for general asset prices
• Finitely additive supermartingales
• Arbitrage and equilibrium in economies with infinitely many commodities
• Arbitrage approximation theory
• Optimal Portfolio Choice under Heterogeneous Beliefs
• The valuation problem in arbitrage price theory
• Asset Prices in an Exchange Economy with Habit Formation
• Additivity, utility, and subjective probability
• Completeness of securities market models -- an operator point of view

Cited In (15)

• Asset pricing in an imperfect world
• Universal arbitrage aggregator in discrete-time markets under uncertainty
• Robust pricing and hedging of double no-touch options
• Continuous-time trading and the emergence of probability
• The no-arbitrage pricing of non-traded assets
• The risk-neutral non-additive probability with market frictions
• Finitely additive supermartingales
• Benchmarking in two price financial markets
• A unified framework for robust modelling of financial markets in discrete time
• Lower and upper pricing of financial assets
• Put-call parities, absence of arbitrage opportunities, and nonlinear pricing rules
• Robust pricing-hedging dualities in continuous time
• Yan theorem in \(L^{\infty}\) with applications to asset pricing
• Complete and competitive financial markets in a complex world
• Sure wins, separating probabilities and the representation of linear functionals

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