Fundamental theorem of asset pricing: a strengthened version and а martingale measures search area-Reference-Cited by-同舟云学术

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Fundamental theorem of asset pricing: a strengthened version and а martingale measures search area

Published:2022-05-05 Issue:2 Volume:66 Page:135-140
ISSN:2524-2431
Container-title:Doklady of the National Academy of Sciences of Belarus
language:
Short-container-title:Dokl. Akad. nauk

Author:

Lebedev A. V.¹,Romashchenko G. S.¹,Zabreiko P. P.¹

Affiliation:

1. Belarusian State University

Abstract

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.

Publisher

Publishing House Belorusskaya Nauka

Subject

General Medicine

Reference5 articles.

1. Delbaen F., Schachermayer W. The Mathematics of Arbitrage. Springer Finance, 2006. https://doi.org/10.1007/978-3-540-31299-4

2. Schachermayer W. Fundamental theorem of asset pricing. Encyclopedia of Quantitative Finance, 2010, no. 2, pp. 792–801. https://doi.org/10.1002/9780470061602.eqf04002

3. Zabreiko P. P., Lebedev A. V. Banach geometry of financial market models. Doklady Mathematics, 2017, vol. 95, no. 2, pp. 164–167. https://doi.org/10.1134/s106456241702020x

4. Lebedev A. V., Zabreiko P. P. Banach geometry of arbitrage free markets. Positivity, 2021, vol. 25, no. 2, pp. 679–699. https://doi.org/10.1007/s11117-020-00782-6

5. Follmer H., Schied A. Stochstic Finance: An Introduction in Discrete Time. 2nd rev. and extended ed. Berlin, New York, Walter de Guyter, 2004. https://doi.org/10.1515/9783110212075

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