Convex Asset Pricing
Résumé
In order to encompass general financial frictions, we generalize the fundamental theorem of asset pricing to convex price functionals. We identify a new arbitrage condition, called robust no-arbitrage, that characterizes viability and generalizes the well-known no-arbitrage condition used in models with a linear pricing.
Domaines
Economies et finances
Origine : Fichiers produits par l'(les) auteur(s)