Fundamental theorems of asset pricing for good deal bounds

Mathematical Finance

Volumn 14, Issue 2, 2004, Pages 141-161

  Staum, Jeremy ^a,b  

^a Northwestern University   (United States)

^b NONE   (United States)

Author keywords

Asset pricing; Coherent risk measure; Convex risk measure; Equivalent martingale measure; Fundamental theorem; Good deal bounds; Imprecise probabilities; Incomplete markets

Indexed keywords

EID: 2442528599     PISSN: 09601627     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.0960-1627.2004.00186.x     Document Type: Article

References (22)

1. ARTZNER, P., F. DELBAEN, J.-M. EBER, and D. HEATH (1999): Coherent Measures of Risk, Math. Finance 9, 203-228.
2. CARR, P., H. GEMAN, and D. B. MADAN (2001): Pricing and Hedging in Incomplete Markets, J. Financial Econ. 62, 131-167.
3. ČERNÝ, A., and S. HODGES (2001): The Theory of Good-Deal Pricing in Incomplete Markets; in Mathematical Finance-Bachelier Congress 2000, H. GEMAN, D. MADAN, S. PLISKA, and T. VORST, eds. Berlin: Springer-Verlag, 175-202.
4. ÇETIN, U., R. JARROW, and P. PROTTER (2002): Liquidity Risk and Arbitrage Pricing Theory. Working paper, Cornell University.
5. COCHRANE, J. H., and J. SAÁ-REQUEJO (2000): Beyond Arbitrage: Good-Deal Asset Price Bounds in Incomplete Markets, J. Polit. Econ. 108, 79-119.
6. DELBAEN, F. (2002): Coherent Risk Measures on General Probability Spaces; in Advances in Finance and Stochastics, K. SANDMANN and P. J. SCHÖNBUCHER, eds. Berlin: Springer-Verlag.
7. DELBAEN, F., and W. SCHACHERMAYER (1999): Non-Arbitrage and the Fundamental Theorem of Asset Pricing: Summary of Main Results; in Introduction to Mathematical Finance, D. HEATH and G. SWINDLE, eds. Providence, RI: American Mathematical Society, 49-58.
8. DUNFORD, N., and J. T. SCHWARTZ (1958): Linear Operators, vol. 1. New York: Wiley-Interscience.
9. FÖLLMER, H., and A. SCHIED (2002a): Convex Measures of Risk and Trading Constraints, Finance and Stochastics 6, 429-447.
10. FÖLLMER, H., and A. SCHIED (2002b): Robust Preferences and Convex Measures of Risk; in Advances in Finance and Stochastics, K. SANDMANN and P. J. SCHÖNBUCHER, eds. Berlin: Springer-Verlag.
11. FÖLLMER, H., and A. SCHIED (2002c): Stochastic Finance: An Introduction in Discrete Time. Berlin: de Gruyter.
12. FRITTELLI, M. (2000a): Introduction to a Theory of Value Coherent with the No-Arbitrage Principle, Finance Stoch. 4, 275-297.
13. FRITTELLI, M. (2000b): The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets, Math. Finance 10, 39-52.
14. JARROW, R., and D. B. MADAN (1999): Hedging contingent claims on semimartingales, Finance Stoch. 3, 111-134.
15. JASCHKE, S., and U. KÜCHLER (2000): Coherent Risk Measures, Valuation Bounds, and (μ, ρ)-Portfolio Optimization. Available at http://www.jaschke.net/papers/crm.pdf, version 1.39.
16. MAAB, S. (2002): Exact Functionals and Their Cores, Statist. Papers 43, 75-93.
17. ROCKAFELLAR, R. T. (1970): Convex Analysis. Princeton, NJ: Princeton University Press.
18. ROCKAFELLAR, R. T. (1974): Conjugate Duality and Optimization. Philadelphia: Society for Industrial and Applied Mathematics.
19. ROORDA, B. (2002): Martingale Characterizations of Coherent Acceptability Measures. Working paper, University of Twente.
20. SCHWEIZER, M. (1996): Approximation Pricing and the Variance-Optimal Martingale Measure, Ann. Prob. 24, 206-236.
21. STAUM, J. (2002): Pricing and Hedging in Incomplete Markets: Fundamental Theorems and Robust Utility Maximization. Technical Report 1351, School of ORIE, Cornell University.
22. WALLEY, P. (1991): Statistical Reasoning with Imprecise Probabilities. New York: Chapman and Hall.