General Arbitrage Pricing Model: I – Probability Approach

DOI10.1007/978-3-540-71189-6_23zbMath1321.91111OpenAlexW2288178163MaRDI QIDQ5423766

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Publication date: 31 October 2007

Published in: Lecture Notes in Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-540-71189-6_23

zbMATH Keywords

martingale measurefundamental theorem of asset pricingrisk-neutral measurechange of numérairefair pricegeneral arbitrage pricing modelgeneralized arbitragemartingale measure with given marginalsset of attainable incomes

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (11)

Weighted V\@R and its properties ⋮ A guaranteed deterministic approach to superhedging: no arbitrage properties of the market ⋮ Unnamed Item ⋮ No arbitrage in continuous financial markets ⋮ DETERMINISTIC CRITERIA FOR THE ABSENCE AND EXISTENCE OF ARBITRAGE IN MULTI-DIMENSIONAL DIFFUSION MARKETS ⋮ DYNAMIC CONIC FINANCE: PRICING AND HEDGING IN MARKET MODELS WITH TRANSACTION COSTS VIA DYNAMIC COHERENT ACCEPTABILITY INDICES ⋮ Consistent price systems and arbitrage opportunities of~the~second kind in models with transaction costs ⋮ Deterministic criteria for the absence of arbitrage in~one-dimensional diffusion models ⋮ A comparison of two no-arbitrage conditions ⋮ On absolute continuity and singularity of multidimensional diffusions ⋮ NO-FREE-LUNCH EQUIVALENCES FOR EXPONENTIAL LÉVY MODELS UNDER CONVEX CONSTRAINTS ON INVESTMENT

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