Finance Without Probabilistic Prior Assumptions

Frank Riedel

Papers from arXiv.org

Abstract: We develop the fundamental theorem of asset pricing in a probability-free infinite-dimensional setup. We replace the usual assumption of a prior probability by a certain continuity property in the state variable. Probabilities enter then endogenously as full support martingale measures (instead of equivalent martingale measures). A variant of the Harrison-Kreps-Theorem on viability and no arbitrage is shown. Finally, we show how to embed the superhedging problem in a classical infinite-dimensional linear programming problem.

Date: 2011-07
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Citations: View citations in EconPapers (9)

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http://arxiv.org/pdf/1107.1078 Latest version (application/pdf)

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Working Paper: Finance without probabilistic prior assumptions (2016)
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