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

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Autor(in)
Bálint, Daniel
Schweizer, Martin
Datum
2018-03-16
Typ
    Working Paper
Publikationsstatus
published
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Zeitschrift / Serie
Swiss Finance Institute Research Paper
Band
18-23
Verlag
Swiss Finance Institute
Thema
no arbitrage; maximal strategies; semimartingales; discounting; NFLVR; NUPBR; FTAP; o-martingale deflator; strongly index weight maximal; dynamically index weight viable; Black–Scholes model
Organisationseinheit
03658 - Schweizer, Martin / Schweizer, Martin  
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