Supermartingale deflators in the absence of a numéraire
arxiv(2021)
摘要
In this paper we study arbitrage theory of financial markets in the absence of a numéraire both in discrete and continuous time. In our main results, we provide a generalization of the classical equivalence between no unbounded profits with bounded risk and the existence of a supermartingale deflator. To obtain the desired results, we introduce a new approach based on disintegration of the underlying probability space into spaces where the market crashes at deterministic times.
更多查看译文
关键词
Supermartingale deflator, Absence of a numé, raire, NUPBR, Fundamental theorem of asset pricing, Arbitrage of the first kind
AI 理解论文
溯源树
样例
生成溯源树,研究论文发展脉络
Chat Paper
正在生成论文摘要