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An alternative axiomatic characterisation of pricing operators
Published online by Cambridge University Press: 09 December 2016
Abstract
In the spirit of the axiomatic approach by Rogers (1998) we show the equivalence between a set of assumptions on the behaviour of prices and the existence of a representation of these prices as conditional expectations. We rely on only weak assumptions and avoid any a priori modelling of negligible events or of any market filtration. Rather, both endogenously emerge along with the representation as conditional expectations.
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- Copyright © Applied Probability Trust 2016
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