No free lunch for markets with multiple num\'eraires

• Tác giả: Laurence Carassus
• Ngôn ngữ: eng
• Ký hiệu phân loại: 016.33 Bibliographies and catalogs of works on specific subjects or in specific disciplines
• Thông tin xuất bản: 2021
• Bộ sưu tập: Metadata
• ID: 167503

Tóm tắt

We consider a global market constituted by several submarkets, each with its own assets and num\'eraire. We provide theoretical foundations for the existence of equivalent martingale measures and results on superreplication prices which allows to take into account difference of features between submarkets.