FUNDAMENTAL THEOREM OF ASSET PRICING: A STRENGTHENED VERSION AND A MARTINGALE MEASURE SEARCH AREA

被引：0
|
作者：
Lebedev, Andrei, V [1 ]
Romashchenko, Galina S. [1 ]
Zabreiko, Petr P. [1 ]
机构：
[1] Belarusian State Univ, Minsk, BELARUS
来源：
DOKLADY NATSIONALNOI AKADEMII NAUK BELARUSI | 2022年 / 66卷 / 02期
关键词：
arbitrage; martingale measure; plastered cone; total cone; non-annulment cone;
D O I：
10.29235/1561-8323-2022-66-2-135-140
中图分类号：
O [数理科学和化学]; P [天文学、地球科学]; Q [生物科学]; N [自然科学总论];
学科分类号：
07 ; 0710 ; 09 ;
摘要：
In the article a strengthened version of the 'Fundamental Theorem of Asset Pricing' for a one-period market model is proven. The principal role in this result is played by total and nonanihilating cones.
引用
收藏
页码：135 / 140
页数：6
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