A new look at some basic concepts in arbitrage pricing theory

doi:10.1360/02ys0072

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	A new look at some basic concepts in arbitrage pricing theory
	Xia, JM; Yan, JA
	2003-11-01
发表期刊	SCIENCE IN CHINA SERIES A-MATHEMATICS
ISSN	1006-9283
卷号	46 期号:6 页码:764-774
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.
关键词	allowable strategy martingale measure no free lunch superhedging regular strategy attainable claim
DOI	10.1360/02ys0072
语种	英语
WOS研究方向	Mathematics
WOS类目	Mathematics, Applied ; Mathematics
WOS记录号	WOS:000186498900003
出版者	SCIENCE CHINA PRESS
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/19032
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.