A numeraire-free and original probability based framework for financial markets

Simple item page
dc.creatorYan, Jia-An
dc.date2003-05-01
dc.date.accessioned2026-07-07T12:11:08Z
dc.date.available2026-07-07T12:11:08Z
dc.descriptionIn this paper, we introduce a numeraire-free and original probability based framework for financial markets. We reformulate or characterize fair markets, the optional decomposition theorem, superhedging, attainable claims and complete markets in terms of martingale deflators, present a recent result of Kramkov and Schachermayer (1999, 2001) on portfolio optimization and give a review of utility-based approach to contingent claim pricing in incomplete markets.
dc.identifierhttps://arxiv.org/abs/math/0305017
dc.identifierhttp://arxiv.org/abs/math/0305017
dc.identifierProceedings of the ICM, Beijing 2002, vol. 3, 861--874
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/210132
dc.subjectProbability
dc.subjectComputational Finance
dc.subject60H30, 60G44
dc.titleA numeraire-free and original probability based framework for financial markets
dc.typetext

Files

Collections

arXiv