Yan Theorem in L~∞ with Applications to Asset Pricing

被引：0

作者：

Gianluca Cassese ^{[1
]}

机构：

[1] University of Lugano,via G.Buffi 13,CH-6904 Lugano,Switzerland and Università del Salento

来源：

Acta Mathematicae Applicatae Sinica | 2007年 / 04期

关键词：

Arbitrage; free lunch; fundamental theorem of asset pricing; martingale measure; Yan theorem;

D O I：

暂无

中图分类号：

F224 [经济数学方法];

学科分类号：

0701 ; 070104 ;

摘要：

We prove an L~∞ version of the Yan theorem and deduce from it a necessary condition for theabsence of free lunches in a model of financial markets,in which asset prices are a continuous R~d valued processand only simple investment strategies are admissible.Our proof is based on a new separation theorem for convexsets of finitely additive measures.

引用

页码：551 / 562

页数：12

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