No free lunch for markets with multiple num\'eraires

Laurence Carassus

Papers from arXiv.org

Abstract: We consider a global market constituted by several submarkets, each with its own assets and num\'eraire. We provide theoretical foundations for the existence of equivalent martingale measures and results on superreplication prices which allows to take into account difference of features between submarkets.

Date: 2021-07, Revised 2022-12
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