A FUNDAMENTAL THEOREM OF ASSET PRICING IN CONTINUOUS TIME WITH SQUARE INTEGRABLE PORTFOLIOS

2007 ◽  
Author(s):  
HANQING JIN ◽  
XUN YU ZHOU
Keyword(s):  
Asset Pricing ◽  
Continuous Time ◽  
Fundamental Theorem

scholarly journals The Fundamental Theorem of Asset Pricing Under Transaction Costs

2011 ◽  
Author(s):  
Paolo Guasoni ◽  
Emmanuel Lepinette-Denis ◽  
Miklos Rasonyi
Keyword(s):  
Asset Pricing ◽  
Transaction Costs ◽  
Fundamental Theorem

scholarly journals On The Fundamental Theorem Of Asset Pricing: Random Constraints And Bang-Bang No-Arbitrage Criteria

2004 ◽  
Vol 14 (2) ◽  
pp. 201-221 ◽  
Author(s):  
Igor V. Evstigneev ◽  
Klaus Schurger ◽  
Michael I. Taksar
Keyword(s):  
Asset Pricing ◽  
Fundamental Theorem ◽  
No Arbitrage

Fundamental Theorem of Asset Pricing

2020 ◽  
pp. 135-146
Author(s):  
Pablo Koch-Medina ◽  
Cosimo Munari
Keyword(s):  
Asset Pricing ◽  
Fundamental Theorem

The fundamental theorem of asset pricing for continuous processes under small transaction costs

2008 ◽  
Vol 6 (2) ◽  
pp. 157-191 ◽  
Author(s):  
Paolo Guasoni ◽  
Miklós Rásonyi ◽  
Walter Schachermayer
Keyword(s):  
Asset Pricing ◽  
Transaction Costs ◽  
Fundamental Theorem ◽  
Continuous Processes

CORRIGENDUM: “PRICING AND VALUATION UNDER THE REAL-WORLD MEASURE”

2018 ◽  
Vol 21 (04) ◽  
pp. 1892001 ◽  
Author(s):  
GABRIEL FRAHM
Keyword(s):  
Banach Space ◽  
Asset Pricing ◽  
Financial Markets ◽  
Real World ◽  
Fundamental Theorem ◽  
Contingent Claims ◽  
Henri Poincaré ◽  
The Real ◽  
The Third ◽  
Price Process

In order to prove the third fundamental theorem of asset pricing for financial markets with infinite lifetime [G. Frahm (2016) Pricing and valuation under the real-world measure, International Journal of Theoretical and Applied Finance 19, 1650006], we shall assume that the discounted price process is locally bounded. Otherwise, some principal results developed by [F. Delbaen & W. Schachermayer (1997) The Banach space of workable contingent claims in arbitrage theory, Annales de l’Institut Henri Poincaré 1, 114–144] cannot be applied.

scholarly journals Asset Pricing Models and Insurance Ratemaking

1990 ◽  
Vol 20 (2) ◽  
pp. 125-166 ◽  
Author(s):  
J. David Cummins
Keyword(s):  
Asset Pricing ◽  
Option Pricing ◽  
Life Insurance ◽  
Continuous Time ◽  
Financial Management ◽  
Arbitrage Pricing Theory ◽  
Pricing Models ◽  
Discounted Cash Flow ◽  
Asset Pricing Models ◽  
Pricing Theory

AbstractThis paper provides an introduction to asset pricing theory and its applications in non-life insurance. The first part of the paper presents a basic review of asset pricing models, including discrete and continuous time capital asset pricing models (the CAPM and ICAPM), arbitrage pricing theory (APT), and option pricing theory (OPT). The second part discusses applications in non-life insurance. Among the insurance models reviewed are the insurance CAPM, discrete time discounted cash flow models, option pricing models, and more general continuous time models. The paper concludes that the integration of actuarial and financial theory can provide major advances in insurance pricing and financial management.

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