Equivalent supermartingale densities and measures in discrete time infinite horizon market models

DOI10.1137/S0040585X97983869zbMATH Open1202.91304OpenAlexW1994863970MaRDI QIDQ3556748FDOQ3556748

Authors: D. B. Rokhlin 

Publication date: 26 April 2010

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0040585x97983869

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zbMATH Keywords

free lunchsupermartingale densitiesKreps-Yan theoremno-arbitrage criteriachange of numérairefork-convexity

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Martingales with discrete parameter (60G42) Portfolio theory (91G10) Financial applications of other theories (91G80)

Cited In (2)

• Extremal measures and hedging in American options
• On the existence of an equivalent supermartingale density for a fork-convex family of stochastic processes

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