Finance without probabilistic prior assumptions

Frank Riedel

No 450, Center for Mathematical Economics Working Papers from Center for Mathematical Economics, Bielefeld University

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.

Keywords: Probability-Free Finance; Fundamental Theorem of Asset Pricing; Full-Support Martingale Measure; Superhedging; Infinite-Dimensional Linear Programming (search for similar items in EconPapers)
Pages: 18
Date: 2016-02-11
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Citations: View citations in EconPapers (5)

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https://pub.uni-bielefeld.de/download/2900949/2900950 First Version, 2011 (application/x-download)

Related works:
Working Paper: Finance Without Probabilistic Prior Assumptions (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:bie:wpaper:450

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