TY  - GEN
AB  - 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.
DA  - 2011
KW  - Probability-Free Finance
KW  - Fundamental Theorem of Asset Pricing
KW  - Full-Support Martingale Measure
KW  - Superhedging
KW  - Infinite-Dimensional Linear Programming
LA  - eng
PY  - 2011
SN  - 0931-6558
SP  - 18-
TI  - Finance without probabilistic prior assumptions
UR  - https://nbn-resolving.org/urn:nbn:de:0070-pub-29009496
Y2  - 2024-11-22T07:17:45
ER  -