A Robust Fundamental Theorem of Asset Pricing with Discrete Martingale Measures PDF Download

Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download A Robust Fundamental Theorem of Asset Pricing with Discrete Martingale Measures PDF full book. Access full book title A Robust Fundamental Theorem of Asset Pricing with Discrete Martingale Measures by Meriton Ibraimi. Download full books in PDF and EPUB format.

A Robust Fundamental Theorem of Asset Pricing with Discrete Martingale Measures

A Robust Fundamental Theorem of Asset Pricing with Discrete Martingale Measures PDF Author: Meriton Ibraimi
Publisher:
ISBN:
Category :
Languages : en
Pages : 25

Get Book Here

Book Description
The classical version of the Fundamental Theorem of Asset Pricing requires that zero-sets of the real-world probability measure P are known. We chose a different route and start from a possibly non-dominated set of probability measures P representing uncertainty about the zero-sets of the real world measure. Since the concept of equivalence of measures becomes meaningless under such a framework, we use the notion of P-full support, which is a condition on the support of a martingale measure Q. We derive a version of the Fundamental Theorem of Asset Pricing and find that no-arbitrage, in our context, is equivalent to the existence of a discrete martingale measure.