Facoltà di scienze economiche

Yan theorem in L ∞ with applications to asset pricing

Cassese, Gianluca

In: Acta mathematicae applicatae sinica, 2007, vol. 23, no. 4, p. 551-562

We prove an L∞ version of 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 Rd valued process and only simple investment strategies are admissible. Our proof is based on a new separation theorem for convex sets of finitely additive measures. Plus

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    Summary
    We prove an L∞ version of 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 Rd valued process and only simple investment strategies are admissible. Our proof is based on a new separation theorem for convex sets of finitely additive measures.