The Third Fundamental Theorem of Asset Pricing

2012 ◽  
Author(s):  
Robert A. Jarrow
Keyword(s):  
Asset Pricing ◽  
Fundamental Theorem ◽  
The Third

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.

THE THIRD FUNDAMENTAL THEOREM OF ASSET PRICING

2012 ◽  
Vol 07 (02) ◽  
pp. 1250007 ◽  
Author(s):  
ROBERT JARROW
Keyword(s):  
Asset Pricing ◽  
Probability Measure ◽  
Market Efficiency ◽  
Fundamental Theorem ◽  
Derivative Pricing ◽  
The Third ◽  
Complete Market ◽  
Valuation Methodology ◽  
Equivalent Martingale ◽  
Necessary And Sufficient

The importance of market efficiency to derivative pricing is not well understood. The purpose of this paper is to explain this connection using the third fundamental theorem of asset pricing. The third fundamental theorem of asset pricing characterizes the conditions under which an equivalent martingale probability measure exists in an economy. Noting that the existence of an equivalent martingale probability measure is both necessary and sufficient for the market being informationally efficient, we prove that in a complete market, the market being efficient is both necessary and sufficient for the validity of the risk neutral valuation methodology.

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

scholarly journals Volume derivatives of the Grüneisen parameter in the limit of infinite pressure

2019 ◽  
Vol 97 (1) ◽  
pp. 114-116 ◽  
Author(s):  
A. Dwivedi
Keyword(s):  
Boundary Condition ◽  
Fourth Order ◽  
Fundamental Theorem ◽  
High Pressures ◽  
Grüneisen Parameter ◽  
Third Order ◽  
Gruneisen Parameter ◽  
The Third ◽  
Properties Of Materials ◽  
Derivatives Of

Expressions have been obtained for the volume derivatives of the Grüneisen parameter, which is directly related to the thermal and elastic properties of materials at high temperatures and high pressures. The higher order Grüneisen parameters are expressed in terms of the volume derivatives, and evaluated in the limit of infinite pressure. The results, that at extreme compression the third-order Grüneisen parameter remains finite and the fourth-order Grüneisen parameter tends to zero, have been used to derive a fundamental theorem according to which the volume derivatives of the Grüneisen parameter of different orders, all become zero in the limit of infinite pressure. However, the ratios of these derivatives remain finite at extreme compression. The formula due to Al’tshuler and used by Dorogokupets and Oganov for interpolating the Grüneisen parameter at intermediate compressions has been found to satisfy the boundary condition at infinite pressure obtained in the present study.

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