Making no-arbitrage discounting-invariant: a new FTAP beyond NFLVR and NUPBR

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Author
Bálint, Daniel
Schweizer, Martin
Date
2018-03-16
Type
    Working Paper
Publication status
published
External links
Journal / series
Swiss Finance Institute Research Paper
Volume
18-23
Publisher
Swiss Finance Institute
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  
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