Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/81094
Authors: 
Riedel, Frank
Year of Publication: 
2011
Series/Report no.: 
Working Papers, Institute of Mathematical Economics 450
Abstract: 
We develop the fundamental theorem of asset pricing in a probability-free infinite-dimensional setup. We replace the usual assumption of a prior probability by a certain continuity property in the state variable. Probabilities enter then endogenously as full support martingale measures (instead of equivalent martingale measures). A variant of the Harrison-Kreps-Theorem on viability and no arbitrage is shown. Finally, we show how to embed the superhedging problem in a classical infinite-dimensional linear programming problem.
Subjects: 
Probability-Free Finance
Fundamental Theorem of Asset Pricing
Full-Support Martingale Measure
Superhedging
Infinite-Dimensional Linear Programming
JEL: 
G12
D53
Document Type: 
Working Paper

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