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Autor:innen: 
Erscheinungsjahr: 
2011
Schriftenreihe/Nr.: 
Working Papers No. 450
Verlag: 
Bielefeld University, Institute of Mathematical Economics (IMW), Bielefeld
Zusammenfassung: 
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.
Schlagwörter: 
Probability-Free Finance
Fundamental Theorem of Asset Pricing
Full-Support Martingale Measure
Superhedging
Infinite-Dimensional Linear Programming
JEL: 
G12
D53
Dokumentart: 
Working Paper

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