The purpose of this paper is to present a unified approach to pricing contingent claims through a new concept of generalized arbitrage. First, we prove the fundamental theorem of asset pricing and establish the form of the fair price intervals within the framework of a general arbitrage pricing model.
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© 2007 Springer-VerlagBerlinHeidelberg
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Cherny, A. (2007). General Arbitrage Pricing Model: I – Probability Approach. In: Donati-Martin, C., Émery, M., Rouault, A., Stricker, C. (eds) Séminaire de Probabilités XL. Lecture Notes in Mathematics, vol 1899. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-71189-6_23
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DOI: https://doi.org/10.1007/978-3-540-71189-6_23
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-71188-9
Online ISBN: 978-3-540-71189-6
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