Arbeitspapier
Finance without probabilistic prior assumptions
We develop the fundamental theorem of asset pricing in a probability-free infinite-dimensional setup. We replace the usual assumption of a prior probability by a certain continuity property in the state variable. Probabilities enter then endogenously as full support martingale measures (instead of equivalent martingale measures). A variant of the Harrison-Kreps-Theorem on viability and no arbitrage is shown. Finally, we show how to embed the superhedging problem in a classical infinite-dimensional linear programming problem.
- Language
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Englisch
- Bibliographic citation
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Series: Working Papers ; No. 450
- Classification
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Wirtschaft
Asset Pricing; Trading Volume; Bond Interest Rates
General Equilibrium and Disequilibrium: Financial Markets
- Subject
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Probability-Free Finance
Fundamental Theorem of Asset Pricing
Full-Support Martingale Measure
Superhedging
Infinite-Dimensional Linear Programming
Finanzanalyse
Martingale
Hedging
Theorie
- Event
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Geistige Schöpfung
- (who)
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Riedel, Frank
- Event
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Veröffentlichung
- (who)
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Bielefeld University, Institute of Mathematical Economics (IMW)
- (where)
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Bielefeld
- (when)
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2011
- Handle
- Last update
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10.03.2025, 11:41 AM CET
Data provider
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Object type
- Arbeitspapier
Associated
- Riedel, Frank
- Bielefeld University, Institute of Mathematical Economics (IMW)
Time of origin
- 2011