Envelopes of equivalent martingale measures and a generalized no-arbitrage principle in a finite setting-Reference-Cited by-同舟云学术

Envelopes of equivalent martingale measures and a generalized no-arbitrage principle in a finite setting

Published:2022-12-19 Issue:1-2 Volume:321 Page:103-137
ISSN:0254-5330
Container-title:Annals of Operations Research
language:en
Short-container-title:Ann Oper Res

Author:

Cinfrignini Andrea^ORCID,Petturiti Davide^ORCID,Vantaggi Barbara^ORCID

Funder

Università degli Studi di Perugia

Publisher

Springer Science and Business Media LLC

Subject

Management Science and Operations Research,General Decision Sciences

Link

https://link.springer.com/content/pdf/10.1007/s10479-022-05126-z.pdf

Reference43 articles.

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3. Asano, T., & Kojima, H. (2019). Consequentialism and dynamic consistency in updating ambiguous beliefs. Economic Theory, 68(1), 223–250.

4. Ben-Israel, A. (2001). Motzkin’s transposition theorem, and the related theorems of Farkas, Gordan and Stiemke. Encyclopedia of Mathematics, Supplement III.

5. Bensaid, B., Lesne, J. P., Pagès, H., & Scheinkman, J. (1992). Derivative asset pricing with transaction costs. Mathematical Finance, 2(2), 63–86.

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