dc.date.accessioned | 2013-03-12T08:16:59Z | |
dc.date.available | 2013-03-12T08:16:59Z | |
dc.date.issued | 2011 | en_US |
dc.date.submitted | 2011-06-30 | en_US |
dc.identifier.uri | http://hdl.handle.net/10852/10236 | |
dc.description.abstract | In an L∞-framework, we present a few extension theorems for linear operators. We focus the attention on majorant preserving and sandwich preserving types of extensions. These results are then applied to the study of price systems derived by a reasonable restriction of the class of equivalent martingale measures applicable. First we consider equivalent martingale measures with bounds on densities and the corresponding prices bounded by linear minorant and majorant. Then we consider prices bounded by bid-ask dynamics. Finally we study price systems consistent with no-good-deal pricing measures for given bounds on the Sharpe ratio. Within this study we introduce the definition of dynamic no-good-deal pricing measure. | eng |
dc.language.iso | eng | en_US |
dc.publisher | Matematisk Institutt, Universitetet i Oslo | |
dc.relation.ispartof | Preprint series. Pure mathematics http://urn.nb.no/URN:NBN:no-8076 | en_US |
dc.relation.uri | http://urn.nb.no/URN:NBN:no-8076 | |
dc.rights | © The Author(s) (2011). This material is protected by copyright law. Without explicit authorisation, reproduction is only allowed in so far as it is permitted by law or by agreement with a collecting society. | |
dc.title | Extension theorems for linear operators on L∞ and
application to price systems | en_US |
dc.type | Research report | en_US |
dc.date.updated | 2011-07-06 | en_US |
dc.rights.holder | Copyright 2011 The Author(s) | |
dc.creator.author | Bion-Nadal, Jocelyne | en_US |
dc.creator.author | Di Nunno, Giulia | en_US |
dc.subject.nsi | VDP::410 | en_US |
dc.identifier.urn | URN:NBN:no-28089 | en_US |
dc.type.document | Forskningsrapport | en_US |
dc.identifier.duo | 131315 | en_US |
dc.identifier.fulltext | Fulltext https://www.duo.uio.no/bitstream/handle/10852/10236/1/pm04-11.pdf | |