|Title: ||Pricing functions and risk measures in incomplete markets|
|Abstract: || We present a new approach for pricing and making decisions of investment in incomplete markets. This we do without fixing in advance any probability measure.
The key concept that we introduce is a notion of pricing function compatible with a family of bid and ask prices observed in the market.
This method links the theory of asset pricing and the theory of risk measuring. Furthermore we prove a first fundamental theorem of asset pricing in this new context.
|MSC: ||91B24, 91B28, 91B30, 46N10|
|URL: || |