有限加性概率下资产定价的价格唯一性及基本定理

Pub Date : 2014-01-02 DOI:10.1080/17442508.2013.763808

P. Berti, L. Pratelli, P. Rigo

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引用次数: 5

摘要

设L是概率空间上实有界随机变量的线性空间。这样的有限可加概率P称为等效鞅有限可加概率。本文研究了P0为原子态时的emfa。Berti et al. (2012, J. theort .)对emfa的存在进行了表征，并提出了一个问题。Probab。可在http://economia.unipv.it/pagp/pagine_personali/prigo/arb.pdf上找到)的答案。还得到了下列类型的一些结果。设Y是一个有界随机变量。然后，对于某些序列，假设存在EMFA和每个EMFA P。

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Price uniqueness and fundamental theorem of asset pricing with finitely additive probabilities

Let L be a linear space of real-bounded random variables on the probability space . A finitely additive probability P on such thatis called equivalent martingale finitely additive probability (EMFA). In this paper, EMFAs are investigated in case P0 is atomic. Existence of EMFAs is characterized and a question raised in Berti et al. (2012, J. Theoret. Probab. Available at http://economia.unipv.it/pagp/pagine_personali/prigo/arb.pdf) is answered. Some results of the following type are obtained as well. Let and Y be a bounded random variable. Then , for some sequence , provided EMFAs exist and for each EMFA P.

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