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Pricing without no-arbitrage condition in discrete time

  • Published:2022-01 Issue:1 Volume:505 Page:125441
  • ISSN:0022-247X
  • Container-title:Journal of Mathematical Analysis and Applications
  • language:en
  • Short-container-title:Journal of Mathematical Analysis and Applications

Author:

Carassus LaurenceORCID,Lépinette Emmanuel

Publisher

Elsevier BV

Subject

Applied Mathematics,Analysis

Reference34 articles.

1. Infinite Dimensional Analysis: A Hitchhicker's Guide;Aliprantis,2006

2. J. Baptiste, L. Carassus, E. Lépinette, Princing without martingale mesaures, Preprint.

3. Conditional essential suprema with applications;Barron;Appl. Math. Optim.,2003

4. Martingale inequalities and deterministic counterparts;Beiglböck;Electron. J. Probab.,2014

5. Derivative asset pricing with transaction costs;Bensaid;Math. Finance,1992

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