Equivalent locally martingale measure for the deflator process on ordered Banach algebra

DOI10.1155/2020/5785098MaRDI QIDQ780496zbMATH OpenOpenAlexFDO

Authors Boushra Y. Hussein

Publication date 15 July 2020

Published in Journal of Mathematics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1155/2020/5785098

zbMATH Keywords

financial mathematicsequivalent martingale measureordered Banach algebradeflator process

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Financial markets (91G15) Martingales with continuous parameter (60G44) Financial applications of other theories (91G80)

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Cites work

• scientific article; zbMATH DE number 1619454 (Why is no real title available?)
• scientific article; zbMATH DE number 47995 (Why is no real title available?)
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• A general version of the fundamental theorem of asset pricing
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• MARTINGALE MEASURES FOR DISCRETE‐TIME PROCESSES WITH INFINITE HORIZON
• Markets with transaction costs. Mathematical theory.
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• No arbitrage: On the work of David Kreps
• On the fundamental theorem of asset pricing with an infinite state space
• REPRESENTING MARTINGALE MEASURES WHEN ASSET PRICES ARE CONTINUOUS AND BOUNDED
• The fundamental theorem of asset pricing for unbounded stochastic processes
• The valuation problem in arbitrage price theory

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