Fundamental theorems of asset pricing for good deal bounds

被引：47
|
作者：
Staum, J [1 ]
机构：
[1] Northwestern Univ, Dept Ind Engn & Management Sci, Evanston, IL 60208 USA
来源：
MATHEMATICAL FINANCE | 2004年 / 14卷 / 02期
关键词：
asset pricing; coherent risk measure; convex risk measure; equivalent martingale measure; fundamental theorem; good deal bounds; imprecise probabilities; incomplete markets;
D O I：
10.1111/j.0960-1627.2004.00186.x
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We prove fundamental theorems of asset pricing for good deal bounds in incomplete markets. These theorems relate arbitrage-freedom and uniqueness of prices for over-the-counter derivatives to existence and uniqueness of a pricing kernel that is consistent with market prices and the acceptance set of good deals. They are roved using duality of convex optimization in locally convex linear topological spaces. The concepts investigated are closely related to convex and coherent risk measures, exact functionals, and coherent lower revisions in the theory of imprecise probabilities.
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页码：141 / 161
页数：21
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