GENERALIZED SUPERMARTINGALE DEFLATORS UNDER LIMITED INFORMATION

DOI10.1111/j.1467-9965.2011.00484.xzbMath1282.91118arXiv0904.2913OpenAlexW2133414344MaRDI QIDQ4906519

Constantinos Kardaras

Publication date: 28 February 2013

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

Full work available at URL: https://arxiv.org/abs/0904.2913

zbMATH Keywords

fundamental theorem of asset pricinglimited informationboundedness in probabilityarbitrages of the first kindgeneralized supermartingales

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Martingales with continuous parameter (60G44)

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Cites Work

• A general version of the fundamental theorem of asset pricing
• Numéraire-invariant preferences in financial modeling
• The numéraire portfolio in semimartingale financial models
• Finitely Additive Probabilities and the Fundamental Theorem of Asset Pricing
• No Arbitrage and the Growth Optimal Portfolio
• The numeraire portfolio for unbounded semimartingale