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

页码：135 / 140

页数：6

共 23 条

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[22] Prospective strict no-arbitrage and the fundamental theorem of asset pricing under transaction costs
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Finance and Stochastics, 2019, 23 : 1049 - 1077
[23] Arbitrage in markets with bid-ask spreads: The fundamental theorem of asset pricing in finite discrete time markets with bid-ask spreads and a money account
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