Consistent price systems for subfiltrations

Andrea Gombani; Stefan Jaschke; Wolfgang Runggaldier

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Displaying similar documents to “Consistent price systems for subfiltrations”

Discrete-time market models from the small investor point of view and the first fundamental-type theorem

Marek Karaś, Anna Serwatka (2017)

Annales Universitatis Paedagogicae Cracoviensis. Studia Mathematica

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In this paper, we discuss the no-arbitrage condition in a discrete financial market model which does not hold the same interest rate assumptions. Our research was based on, essentially, one of the most important results in mathematical finance, called the Fundamental Theorem of Asset Pricing. For the standard approach a risk-free bank account process is used as numeraire. In those models it is assumed that the interest rates for borrowing and saving money are the same. In our paper we...

Option price when the stock is a semimartingale.

Klebaner, Fima (2002)

Electronic Communications in Probability [electronic only]

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Robust option replication for a Black-Scholes model extended with nondeterministic trends.

Schoenmakers, John G.M., Kloeden, Peter E. (1999)

Journal of Applied Mathematics and Stochastic Analysis

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The martingale method of shortfall risk minimization in a discrete time market

Marek Andrzej Kociński (2012)

Applicationes Mathematicae

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The shortfall risk minimization problem for the investor who hedges a contingent claim is studied. It is shown that in case the nonnegativity of the final wealth is not imposed, the optimal strategy in a finite market model is obtained by super-hedging a contingent claim connected with a martingale measure which is a solution of an auxiliary maximization problem.

Pricing rules under asymmetric information

Shigeyoshi Ogawa, Monique Pontier (2007)

ESAIM: Probability and Statistics

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We consider an extension of the Kyle and Back's model [Back, (1992) 387–409; Kyle, (1985) 1315–1335], meaning a model for the market with a continuous time risky asset and asymmetrical information. There are three financial agents: the market maker, an insider trader (who knows a random variable which will be revealed at final time) and a non informed agent. Here we assume that the non informed agent is strategic, namely he/she uses a utility function...

Arbitrage in a simple model with general transaction costs

Jakub Olejnik (2005)

Applicationes Mathematicae

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We study a version of no arbitrage condition in a simple model with general transaction costs. Our condition is equivalent to the existence of an equivalent martingale measure.