A new look at some basic concepts in arbitrage pricing theory
文献类型：期刊论文
| 作者 | Xia, JM ; Yan, JA
|
| 刊名 | SCIENCE IN CHINA SERIES A-MATHEMATICS
 |
| 出版日期 | 2003-11-01 |
| 卷号 | 46期号:6页码:764-774 |
| 关键词 | allowable strategy martingale measure no free lunch superhedging regular strategy attainable claim |
| ISSN号 | 1006-9283 |
| DOI | 10.1360/02ys0072 |
| 英文摘要 | The notion of No Free Lunch with Vanishing Risk (or NFLVR in short) w.r.t. admissible strategies depends on the choice of numeraire. Yan introduced the notion of allowable strategy and showed that condition of NFLVR w.r.t. allowable strategies is independent of the choice of numeraire and is equivalent to the existence of an equivalent martingale measure for the deflated price process. In this paper we establish a version of the Kramkov's optional decomposition theorem in the setting of equivalent martingale measures. Based on this theorem, we have a new look at some basic concepts in arbitrage pricing theory: superhedging, fair price, attainable contingent claims, complete markets and etc. |
| WOS研究方向 | Mathematics |
| 语种 | 英语 |
| WOS记录号 | WOS:000186498900003 |
| 出版者 | SCIENCE CHINA PRESS |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/19031]  |
| 专题 | 应用数学研究所 |
| 通讯作者 | Xia, JM |
| 作者单位 | Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100080, Peoples R China |
| 推荐引用方式 GB/T 7714 | Xia, JM,Yan, JA. A new look at some basic concepts in arbitrage pricing theory[J]. SCIENCE IN CHINA SERIES A-MATHEMATICS,2003,46(6):764-774. |
| APA | Xia, JM,&Yan, JA.(2003).A new look at some basic concepts in arbitrage pricing theory.SCIENCE IN CHINA SERIES A-MATHEMATICS,46(6),764-774. |
| MLA | Xia, JM,et al."A new look at some basic concepts in arbitrage pricing theory".SCIENCE IN CHINA SERIES A-MATHEMATICS 46.6(2003):764-774. |
入库方式： OAI收割
来源：数学与系统科学研究院
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