Finitely additive equivalent martingale measures
Probability
2010-12-14 v1
Abstract
Let be a linear space of real bounded random variables on the probability space . There is a finitely additive probability on , such that and for all , if and only if , , for some constant and (countably additive) probability on such that . A necessary condition for such a to exist is , where the closure is in the norm-topology. If is atomic, the condition is sufficient as well. In addition, there is a finitely additive probability on , such that and for all , if and only if for all .
Keywords
Cite
@article{arxiv.1012.2811,
title = {Finitely additive equivalent martingale measures},
author = {Patrizia Berti and Luca Pratelli and Pietro Rigo},
journal= {arXiv preprint arXiv:1012.2811},
year = {2010}
}