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-martingale discounte
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subject:"ftas"
(155 results)
1
Making no-arbitrage discounting-invariant : a new
FTAP
beyond NFLVR and NUPBR
Bálint, Dániel Ágoston
;
Schweizer, Martin
-
2018
-
This version: March 16, 2018
-ended models under minimal assumptions on asset prices. We establish corresponding versions of the
FTAP
, i.e., dual …
Persistent link: https://www.econbiz.de/10011899592
Saved in:
2
Utility-based proof for the existence of strictly consistent price processes under proportional transaction costs
Smaga, Martin
-
2012
relationship is formulated in the so-called Fundamental Theorem of Asset Pricing (
FTAP
). Among the many proofs of the
FTAP
without …
FTAP
under proportional transaction costs. For the sake of existence of a utility-maximizing payoff we first concentrate on …
Persistent link: https://www.econbiz.de/10009702606
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