当前位置: X-MOL 学术Math. Finan. Econ. › 论文详情
Our official English website, www.x-mol.net, welcomes your feedback! (Note: you will need to create a separate account there.)
Supermartingale deflators in the absence of a numéraire
Mathematics and Financial Economics ( IF 1.6 ) Pub Date : 2021-05-18 , DOI: 10.1007/s11579-021-00299-w
Philipp Harms , Chong Liu , Ariel Neufeld

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.



中文翻译:

缺少编号的Supermartingale充气机

在本文中,我们研究了在离散时间和连续时间内都没有数字货币的情况下的金融市场套利理论。在我们的主要结果中,我们提供了无风险的无边际利润与超级市场平减指数的存在之间的经典等价关系的概括。为了获得理想的结果,我们引入了一种新方法,该方法基于将潜在的概率空间分解为确定性时间市场崩溃的空间。

更新日期:2021-05-18
down
wechat
bug