A conditional version of the second fundamental theorem of asset pricing in discrete time

DOI10.3934/fmf.2024006zbMath1546.60081MaRDI QIDQ6581628

Thorsten Schmidt, Lars Niemann

Publication date: 31 July 2024

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

zbMATH Keywords

asset pricingrisk measuresnonlinear expectationoptional decompositionfundamental theoremssuper- and subhedging duality

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Interest rates, asset pricing, etc. (stochastic models) (91G30) Financial markets (91G15)

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