Geometry of polar wedges in Riesz spaces and super-replication prices in incomplete financial markets

Geometry of polar wedges in Riesz spaces and super-replication prices in incomplete financial... This paper is devoted to a further generalisation of the main results in [5] including the representation of the weak super-replication price (cf. equation (1.6)). In addition to the already established weakening of the technical assumptions in [5] (cf. [24] and [25]), the main results in [5] can be still generalised by considering the geometric structure of the underlying problem (based on the properties of Riesz spaces and polar wedges therein). In Section 5 we show under which geometric conditions of the relevant sets the results still hold (cf. Theorem 5.3 and Corollary 5.5). In particular, we can completely remove the restrictive admissibility assumption and carry forward equation (1.4) to a larger class of wedges $$K \subseteq L^{0}$$ (cf. Corollary 5.5). http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Positivity Springer Journals

Geometry of polar wedges in Riesz spaces and super-replication prices in incomplete financial markets

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Publisher
Birkhäuser-Verlag
Copyright
Copyright © 2008 by Birkhäuser Verlag Basel/Switzerland
Subject
Mathematics; Fourier Analysis; Operator Theory; Potential Theory; Calculus of Variations and Optimal Control; Optimization; Econometrics
ISSN
1385-1292
eISSN
1572-9281
D.O.I.
10.1007/s11117-008-2196-9
Publisher site
See Article on Publisher Site

Abstract

This paper is devoted to a further generalisation of the main results in [5] including the representation of the weak super-replication price (cf. equation (1.6)). In addition to the already established weakening of the technical assumptions in [5] (cf. [24] and [25]), the main results in [5] can be still generalised by considering the geometric structure of the underlying problem (based on the properties of Riesz spaces and polar wedges therein). In Section 5 we show under which geometric conditions of the relevant sets the results still hold (cf. Theorem 5.3 and Corollary 5.5). In particular, we can completely remove the restrictive admissibility assumption and carry forward equation (1.4) to a larger class of wedges $$K \subseteq L^{0}$$ (cf. Corollary 5.5).

Journal

PositivitySpringer Journals

Published: Oct 28, 2008

References

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