Title: Finance without Probabilistic Prior Assumptions
Abstract: We develop the fundamental theorem of asset pricing in a probability{ free innite{dimension al 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 innite{dimension al linear programming problem.
Publication Year: 2011
Publication Date: 2011-07-06
Language: en
Type: preprint
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