Making no-arbitrage discounting-invariant: a new FTAP version beyond NFLVR and NUPBR

DOI10.3934/fmf.2021010zbMath1498.91411OpenAlexW4285124277MaRDI QIDQ2170298

Yanyan Li

Publication date: 30 August 2022

Published in: Frontiers of Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/fmf.2021010

zbMATH Keywords

semimartingalesBlack-Scholes modeldiscountingabsence of arbitrageNFLVRdynamic share viabilityNUPBR\( \sigma \)-martingale discounterFTAPmaximal strategiesshare maximal

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Financial markets (91G15)

Related Items (2)

No arbitrage and multiplicative special semimartingales ⋮ A stochastic control perspective on term structure models with roll-over risk

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