An alternative axiomatic characterisation of pricing operators. (9th December 2016)
- Record Type:
- Journal Article
- Title:
- An alternative axiomatic characterisation of pricing operators. (9th December 2016)
- Main Title:
- An alternative axiomatic characterisation of pricing operators
- Authors:
- Kassberger, Stefan
Liebmann, Thomas - Abstract:
- Abstract: In the spirit of the axiomatic approach by Rogers (1998) we show the equivalence between a set of assumptions on the behaviour of prices and the existence of a representation of these prices as conditional expectations. We rely on only weak assumptions and avoid any a priori modelling of negligible events or of any market filtration. Rather, both endogenously emerge along with the representation as conditional expectations.
- Is Part Of:
- Journal of applied probability. Volume 53:Number 4(2016)
- Journal:
- Journal of applied probability
- Issue:
- Volume 53:Number 4(2016)
- Issue Display:
- Volume 53, Issue 4 (2016)
- Year:
- 2016
- Volume:
- 53
- Issue:
- 4
- Issue Sort Value:
- 2016-0053-0004-0000
- Page Start:
- 1257
- Page End:
- 1264
- Publication Date:
- 2016-12-09
- Subjects:
- Axiomatic characterisation, -- conditional expectation, -- martingale, -- pricing operator
Primary 91B70, -- Secondary 60G44, -- 47A67, -- 47N20
519.2 - Journal URLs:
- https://www.cambridge.org/core/journals/journal-of-applied-probability ↗
- DOI:
- 10.1017/jpr.2016.78 ↗
- Languages:
- English
- ISSNs:
- 0021-9002
- Deposit Type:
- Legaldeposit
- View Content:
- Available online (eLD content is only available in our Reading Rooms) ↗
- Physical Locations:
- British Library HMNTS - ELD Digital store
- Ingest File:
- 5246.xml