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Dynamic no-good-deal pricing measures and extension theorems for linear operators on L.
- Source :
- Finance & Stochastics; Jul2013, Vol. 17 Issue 3, p587-613, 27p
- Publication Year :
- 2013
-
Abstract
- In an L-framework, we present majorant-preserving and sandwich-preserving extension theorems for linear operators. These results are then applied to price systems derived by a reasonable restriction of the class of applicable equivalent martingale measures. Our results prove the existence of a no-good-deal pricing measure for price systems consistent with bounds on the Sharpe ratio. We treat both discrete- and continuous-time market models. Within this study we present definitions of no-good-deal pricing measures that are equivalent to the existing ones and extend them to discrete-time models. We introduce the corresponding version of dynamic no-good-deal pricing measures in the continuous-time setting. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 09492984
- Volume :
- 17
- Issue :
- 3
- Database :
- Complementary Index
- Journal :
- Finance & Stochastics
- Publication Type :
- Academic Journal
- Accession number :
- 88006119
- Full Text :
- https://doi.org/10.1007/s00780-012-0195-y