共查询到3条相似文献,搜索用时 15 毫秒
1.
We propose a Fundamental Theorem of Asset Pricing and a Super‐Replication Theorem in a model‐independent framework. We prove these theorems in the setting of finite, discrete time and a market consisting of a risky asset S as well as options written on this risky asset. As a technical condition, we assume the existence of a traded option with a superlinearly growing payoff‐function, e.g., a power option. This condition is not needed when sufficiently many vanilla options maturing at the horizon T are traded in the market. 相似文献
2.
NO‐ARBITRAGE PRICING FOR DIVIDEND‐PAYING SECURITIES IN DISCRETE‐TIME MARKETS WITH TRANSACTION COSTS 下载免费PDF全文
We prove a version of First Fundamental Theorem of Asset Pricing under transaction costs for discrete‐time markets with dividend‐paying securities. Specifically, we show that the no‐arbitrage condition under the efficient friction assumption is equivalent to the existence of a risk‐neutral measure. We derive dual representations for the superhedging ask and subhedging bid price processes of a contingent claim contract. Our results are illustrated with a vanilla credit default swap contract. 相似文献
3.
We consider a class of production–investment models in discrete time with proportional transaction costs. For linear production functions, we study a natural extension of the no‐arbitrage of the second kind condition introduced by Rásonyi. We show that this condition implies the closedness of the set of attainable claims and is equivalent to the existence of a strictly consistent price system under which the evaluation of future production profits is strictly negative. This allows us to discuss the closedness of the set of terminal wealth in models with nonlinear production, functions which may admit arbitrages of the second kind for low production regimes but not marginally for high production regimes. 相似文献