Consortium of Swiss Academic Libraries

Yan Theorem in L ∞ with Applications to Asset Pricing

Cassese*, Gianluca

In: Acta Mathematicae Applicatae Sinica, English Series, 2007, vol. 23, no. 4, p. 551-562

Università della Svizzera italiana

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.

Università della Svizzera italiana

Asset pricing with no exogenous probability measure

Cassese, Gianluca

In: Mathematical finance, 2008, vol. 18, no. 1, p. 23-54

In this paper we propose a model of financial markets in which agents have limited ability to trade and no probability is given from the outset. In the absence of arbitrage opportunities, assets are priced according to a probability measure that lacks countable additivity. Despite finite additivity, we obtain an explicit representation of the expected value with respect to the pricing measure,...