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Arbitrage theory in a market of stochastic dimension

Bayraktar, Erhan; Kim, Donghan; Tilva, Abhishek - In: Mathematical finance : an international journal of … 34 (2024) 3, pp. 847-895

Persistent link: https://www.econbiz.de/10014565276

Finitely Additive Equivalent Martingale Measures

Berti, Patrizia; Pratelli, Luca; Rigo, Pietro - Dipartimento di Scienze Economiche e Aziendali, … - 2010

Let L be a linear space of real bounded random variables on the probability space (omega,A, P0). There is a finitely additive probability P on A, such that P tilde P0 and EP (X) = 0 for all X in L, if and only if cEQ(X) = ess sup(-X), X in L, for some constant c 0 and (countably additive)...

Persistent link: https://www.econbiz.de/10009651044

A NOTE ON ASSET BUBBLES IN CONTINUOUS-TIME

CASSESE, GIANLUCA - In: International Journal of Theoretical and Applied … 08 (2005) 04, pp. 523-536

In this paper we propose a model of asset prices consistent with the no-arbitrage principle but allowing for the … either sign. Furthermore, we discuss the existence of bubbles under alternative definitions of absence of arbitrage …

Persistent link: https://www.econbiz.de/10004971810

Arbitrage and state price deflators in a general intertemporal framework

Napp, Clotilde; Jouini, Elyès - HAL - 2005

In securities markets, the characterization of the absence of arbitrage by the existence of state price deflators is ….M., 1981. Arbitrage and equilibrium in economies with infinitely many commodities. Journal of Mathematical Economics 8, 15 …-like condition”.We apply this result to the characterization of the no-arbitrage assumption in a general intertemporal framework. …

Persistent link: https://www.econbiz.de/10008791170

The fundamental theorem of asset pricing under transaction costs

Guasoni, Paolo; Lépinette-Denis, Emmanuel; Rásonyi, … - Université Paris-Dauphine (Paris IX) - 2012

This paper proves the fundamental theorem of asset pricing with transaction costs, when bid and ask prices follow locally bounded càdlàg (right-continuous, left-limited) processes. The robust no free lunch with vanishing risk condition (RNFLVR) for simple strategies is equivalent to the...

Persistent link: https://www.econbiz.de/10011074121

A consistent nonparametric test of the convexity of regression based on least squares splines

Diack, Cheikh A. T. - 1998

This paper provides a test of convexity of a regression function. This test is based on the least squares splines. The test statistic is shown to be asymptotically of size equal to the nominal level, while diverging to infinity if the convexity is misspecified. Therefore, the test is consistent...

Persistent link: https://www.econbiz.de/10010309896