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CMAP preprint server - Details about Preprint # 577

Title: Pricing functions and risk measures in incomplete markets
Year: 06/2005
Language: English
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.
Pages: 33
MSC: 91B24, 91B28, 91B30, 46N10
Download: 577.pdf
Auteurs:Bion-Nadal Jocelyne
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