Making no-arbitrage discounting-invariant: a new FTAP beyond NFLVR and NUPBR
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Author / Producer
Date
2018-03-16
Publication Type
Working Paper
ETH Bibliography
yes
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Rights / License
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Publication status
published
External links
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Book title
Journal / series
Volume
18-23
Pages / Article No.
Publisher
Swiss Finance Institute
Event
Edition / version
Methods
Software
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Date collected
Date created
Subject
no arbitrage; maximal strategies; semimartingales; discounting; NFLVR; NUPBR; FTAP; o-martingale deflator; strongly index weight maximal; dynamically index weight viable; Black–Scholes model
Organisational unit
03658 - Schweizer, Martin / Schweizer, Martin