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Some Remarks on Arbitrage Pricing Theory

In: Recent Developments In Mathematical Finance

Author

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  • Jianming Xia

    (Institute of Applied Mathematics, Academy of Mathematics and System Sciences, Chinese Academy of Sciences, Beijing 100080, China)

  • Jia-An Yan

    (Institute of Applied Mathematics, Academy of Mathematics and System Sciences, Chinese Academy of Sciences, Beijing 100080, China)

Abstract

In this note we report main results in a recent paper by the authors, in which we established a version of Kramkov's optional decomposition theorem in the setting of equivalent martingale measures and using this theorem we clarified some basic concepts and results in arbitrage pricing theory: superhedging, fair price, replicatable contingent claim, complete markets.

Suggested Citation

  • Jianming Xia & Jia-An Yan, 2001. "Some Remarks on Arbitrage Pricing Theory," World Scientific Book Chapters, in: Jiongmin Yong (ed.), Recent Developments In Mathematical Finance, chapter 18, pages 218-227, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812799579_0018
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