A remark on the set of arbitrage-free prices in a multi-period model

DOI10.1111/J.1742-7363.2013.12004.XzbMATH Open1416.91412OpenAlexW2100936810MaRDI QIDQ4583967FDOQ4583967

Authors: Bernard Cornet, Abhishek Ranjan 

Publication date: 29 August 2018

Published in: International Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL: https://orbit.dtu.dk/en/publications/1191bd0d-3cb5-40ae-a069-1c1b05452a8d

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zbMATH Keywords

convexityarbitrage-free pricesequivalent financial structuremulti-period model

Mathematics Subject Classification ID

Actuarial science and mathematical finance (91G99)

Cited In (6)

• Characterizing useless-free financial structures
• Title not available (Why is that?)
• Submodular financial markets with frictions
• The connectedness of the set of equilibrium money prices depends on the choice of the numeraire
• The structure of \(m\)-stable sets and in particular of the set of risk neutral measures
• On the equivalence of financial structures with long-term assets

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