Arbeitspapier
Finitely Additive Equivalent Martingale Measures
Let L be a linear space of real bounded random variables on the probability space (omega,A, P0). There is a finitely additive probability P on A, such that P tilde P0 and EP (X) = 0 for all X in L, if and only if cEQ(X) = ess sup(-X), X in L, for some constant c > 0 and (countably additive) probability Q on A such that Q tilde P0. A necessary condition for such a P to exist is L - L+(inf) n L+(inf) = {0}, where the closure is in the norm-topology. If P0 is atomic, the condition is sufficient as well. In addition, there is a finitely additive probability P on A, such that P << P0 and EP (X) = 0 for all X in L, if and only if ess sup(X) = 0 for all X in L.
- Sprache
-
Englisch
- Erschienen in
-
Series: Quaderni di Dipartimento ; No. 123
Klassifikation
Wirtschaft
Thema
Arbitrage
de Finettis coherence principle
equivalent martingale measure
finitely additive probability
fundamental theorem of asset pricing
de Finettis coherence principle
equivalent martingale measure
finitely additive probability
fundamental theorem of asset pricing
Ereignis
Geistige Schöpfung
(wer)
Berti, Patrizia
Pratelli, Luca
Rigo, Pietro
Pratelli, Luca
Rigo, Pietro
Ereignis
Veröffentlichung
(wer)
Università degli Studi di Pavia, Dipartimento di Economia Politica e Metodi Quantitativi (EPMQ)
(wo)
Pavia
(wann)
2010
- Handle
- Letzte Aktualisierung
-
20.09.2024, 08:23 MESZ
Objekttyp
- Arbeitspapier
Beteiligte
- Berti, Patrizia
- Pratelli, Luca
- Rigo, Pietro
- Università degli Studi di Pavia, Dipartimento di Economia Politica e Metodi Quantitativi (EPMQ)
Entstanden
- 2010
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