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

DOI10.1111/J.1742-7363.2013.12004.XzbMATH1416.91412OpenAlexW2100936810MaRDI 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

zbMATH Keywords

convexityarbitrage-free pricesequivalent financial structuremulti-period model

Mathematics Subject Classification ID

Actuarial science and mathematical finance (91G99)

Recommendations

• A NOTE ON ARBITRAGE AND CLOSED CONVEX CONES
• scientific article; zbMATH DE number 1187418
• The structure of \(m\)-stable sets and in particular of the set of risk neutral measures
• Arbitrage theory for non convex financial market models
• Do arbitrage-free prices come from utility maximization?

Cited in

(6)

• The structure of \(m\)-stable sets and in particular of the set of risk neutral measures
• Submodular financial markets with frictions
• The connectedness of the set of equilibrium money prices depends on the choice of the numeraire
• Characterizing useless-free financial structures
• scientific article; zbMATH DE number 6444283 (Why is no real title available?)
• On the equivalence of financial structures with long-term assets

This page was built for publication: A remark on the set of arbitrage-free prices in a multi-period model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4583967)