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Yan Theorem in L ∞ with Applications to Asset Pricing

Abstract

Abstract : We prove an L ∞ version of the Yan theorem and deduce from it a necessary condition for the absence of free lunches in a model of financial markets, in which asset prices are a continuous ℝ d valued process and only simple investment strategies are admissible. Our proof is based on a new separation theorem for convex sets of finitely additive measure

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