8 citations · 25 across the 17 of their papers we have counts for
4 papers · 1 filter
No free lunch for markets with multiple numéraires
Laurence Carassus
We consider a global market constituted by several submarkets, each with its own assets and numéraire. We provide theoretical foundations for the existence of equivalent martingale…
Quasi-sure essential supremum and applications to finance
Laurence Carassus
When uncertainty is modelled by a set of non-dominated and non-compact probability measures, a notion of essential supremum for a family of real-valued functions is developed in te…
Efficient approximations for utility-based pricing
Laurence Carassus, Massinissa Ferhoune
In a context of illiquidity, the reservation price is a well-accepted alternative to the usual martingale approach which does not apply. However, this price is not available in clo…
Pricing without no-arbitrage condition in discrete time
Laurence Carassus, Emmanuel Lépinette
In a discrete time setting, we study the central problem of giving a fair price to some financial product. For several decades, the no-arbitrage conditions and the martingale measu…