General Arbitrage Pricing Model: III – Possibility Approach

DOI10.1007/978-3-540-71189-6_25zbMath1322.91053OpenAlexW2273664285MaRDI QIDQ5423768

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Publication date: 31 October 2007

Published in: Lecture Notes in Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-540-71189-6_25

zbMATH Keywords

transaction costsfundamental theorem of asset pricingrisk-neutral measurepossibility spacefair pricegeneral arbitrage pricing modelgeneralized arbitrageset of attainable incomesset of possible elementary events

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Robust pricing and hedging of double no-touch options

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