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Title: A conditional version of the second fundamental theorem of asset pricing in discrete time

View PDF Abstract: We consider a financial market in discrete time and study pricing and hedging conditional on the information available up to an arbitrary point in time. In this conditional framework, we determine the structure of arbitrage-free prices. Moreover, we characterize attainability and market completeness. We derive a conditional version of the second fundamental theorem of asset pricing, which, surprisingly, is not available up to now. The main tool we use are time consistency properties of dynamic nonlinear expectations, which we apply to the super- and subhedging prices. The results obtained extend existing results in the literature, where the conditional setting is considered in most cases only on finite probability spaces.

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From: Lars Niemann [ view email ]
[v1] Fri, 26 Feb 2021 16:35:02 UTC (25 KB)
Fri, 12 May 2023 07:18:10 UTC (30 KB)
View a PDF of the paper titled A conditional version of the second fundamental theorem of asset pricing in discrete time, by Lars Niemann and Thorsten Schmidt

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