CORRIGENDUM: “PRICING AND VALUATION UNDER THE REAL-WORLD MEASURE”

Gabriel Frahm ()
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Gabriel Frahm: Department of Mathematics and Statistics, Helmut Schmidt University, Holstenhofweg 85, D-22043 Hamburg, Germany

International Journal of Theoretical and Applied Finance (IJTAF), 2018, vol. 21, issue 04, 1-4

Abstract: In order to prove the third fundamental theorem of asset pricing for financial markets with infinite lifetime [G. Frahm (2016) Pricing and valuation under the real-world measure, International Journal of Theoretical and Applied Finance 19, 1650006], we shall assume that the discounted price process is locally bounded. Otherwise, some principal results developed by [F. Delbaen & W. Schachermayer (1997) The Banach space of workable contingent claims in arbitrage theory, Annales de l’Institut Henri Poincaré 1, 114–144] cannot be applied.

Keywords: Third; fundamental; theorem; of; asset; pricing (search for similar items in EconPapers)
Date: 2018
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DOI: 10.1142/S0219024918920012

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