General arbitrage pricing model: I - Probability approach

Lecture Notes in Mathematics

Volumn 1899, Issue , 2007, Pages 415-445

  Cherny, Alexander ^a  

^a MOSCOW STATE UNIVERSITY   (Russian Federation)

Author keywords

Fair price; Fundamental theorem of asset pricing; General arbitrage pricing model; Generalized arbitrage; Possibility space; Risk neutral measure; Set of attainable incomes; Set of possible elementary events; Transaction costs

Indexed keywords

EID: 34547512207     PISSN: 00758434     EISSN: None     Source Type: Book Series    
DOI: 10.1007/978-3-540-71189-6_23     Document Type: Article

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