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A new look at some basic concepts in arbitrage pricing theory - MaRDI portal

A new look at some basic concepts in arbitrage pricing theory

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zbMath1091.91026MaRDI QIDQ2386515

Jian-ming Xia, Jia'an Yan

Publication date: 30 August 2005

Published in: Science in China. Series A (Search for Journal in Brave)

zbMATH Keywords

martingale measure superhedging no free lunch allowable strategy attainable claim regular strategy

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic integrals (60H05)

Related Items (2)

No-arbitrage in a numéraire-independent modeling framework ⋮ Power utility maximization in an exponential Lévy model without a risk-free asset

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