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Yan Theorem in L Infinity and Asset Pricing

Posted: 11 Jan 2005

See all articles by Gianluca Cassese

Gianluca Cassese

Department of Economics, Statistics and Management; University of Lugano - Institute of Finance

Abstract

We prove an L infinity version of Yan theorem and deduce from it a necessary condition for the absence of free lunches in a model of financial markets in which asset prices follow a continuous process and only elementary investment strategies are admissible.

Keywords: Arbitrage, Asset pricing, Free lunch, Fundamental theorem of asset pricing, Martingale measure, Semimartingales, Yan theorem

JEL Classification: G12

Suggested Citation

Cassese, Gianluca, Yan Theorem in L Infinity and Asset Pricing. Available at SSRN: https://ssrn.com/abstract=614782

Gianluca Cassese (Contact Author)

Department of Economics, Statistics and Management ( email )

Via Bicocca degli Arcimboldi, 8
Milan, MI 20126
Italy

HOME PAGE: http://www.statistica.unimib.it/utenti/cassese

University of Lugano - Institute of Finance ( email )

Via Buffi 13
CH-6900 Lugano
Switzerland

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