The Banach Space of Workable Contingent Claims in Arbitrage Theory (1997)

Freddy Delbaen () and Walter Schachermayer ()
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Freddy Delbaen: ETH Zürich
Walter Schachermayer: Technische Universität Wien

Chapter 13 in The Mathematics of Arbitrage, 2006, pp 251-278 from Springer

Abstract: For a locally bounded local martingale S, we investigate the vector space generated by the convex cone of maximal admissible contingent claims. By a maximal contingent claim we mean a random variable (H⋅S)∞, obtained as a final result of applying the admissible trading strategy H to a price process S and which is optimal in the sense that it cannot be dominated by another admissible trading strategy. We show that there is a natural, measure-independent, norm on this space and we give applications in Mathematical Finance.

Date: 2006
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DOI: 10.1007/978-3-540-31299-4_13

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