| Autor: |
Lepinette, Emmanuel, Vu, Duc Thinh |
| Rok vydání: |
2024 |
| Předmět: |
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| Zdroj: |
IJTAF (2021) |
| Druh dokumentu: |
Working Paper |
| DOI: |
10.1142/S0219024921500370 |
| Popis: |
The NA condition is one of the pillars supporting the classical theory of financial mathematics. We revisit this condition for financial market models where a dynamic risk-measure defined on $L^0$ is fixed to characterize the family of acceptable wealths that play the role of non negative financial positions. We provide in this setting a new version of the fundamental theorem of asset pricing and we deduce a dual characterization of the super-hedging prices (called risk-hedging prices) of a European option. Moreover, we show that the set of all risk-hedging prices is closed under NA. At last, we provide a dual representation of the risk-measure on $L^0$ under some conditions. |
| Databáze: |
arXiv |
| Externí odkaz: |
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