Equivalent supermartingale densities and measures in discrete time infinite horizon market models

DOI10.1137/S0040585X97983869zbMath1202.91304OpenAlexW1994863970MaRDI QIDQ3556748

Dmitry B. Rokhlin

Publication date: 26 April 2010

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0040585x97983869

zbMATH Keywords

change of numérairefree lunchsupermartingale densitiesKreps-Yan theoremno-arbitrage criteriafork-convexity

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

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Extremal measures and hedging in American options

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