Some Remarks on Arbitrage Pricing Theory

Jianming Xia and Jia-An Yan
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Jianming Xia: Institute of Applied Mathematics, Academy of Mathematics and System Sciences, Chinese Academy of Sciences, Beijing 100080, China
Jia-An Yan: Institute of Applied Mathematics, Academy of Mathematics and System Sciences, Chinese Academy of Sciences, Beijing 100080, China

Chapter 18 in Recent Developments in Mathematical Finance, 2001, pp 218-227 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractIn this note we report main results in a recent paper by the authors, in which we established a version of Kramkov's optional decomposition theorem in the setting of equivalent martingale measures and using this theorem we clarified some basic concepts and results in arbitrage pricing theory: superhedging, fair price, replicatable contingent claim, complete markets.

Keywords: Proceedings; Conference; Mathematical Finance; Shanghai (China) (search for similar items in EconPapers)
Date: 2001
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