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摘要翻译：
当不确定性模型由一组可能的相互奇异的概率测度给出时，我们考虑套利定价的基本问题。对于一个单一的概率模型，没有套利和存在等价鞅测度之间的本质等价是一个民间定理，参见Harrison和Kreps(1979)。建立了次线性价格系统的微观基础，并给出了推广结果。在此背景下，我们引入了市场空间和可行价格系统的优先依赖概念。在一个不存在先验依赖套利的动态交易框架中，我们将此推广与等价对称鞅测度集的一个规范改变的概念联系起来。当波动性不确定性由Peng-Brownian运动驱动的随机微分方程建模时，我们证明了这类集合的存在性。
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英文标题：
《Coherent Price Systems and Uncertainty-Neutral Valuation》
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作者：
Patrick Bei{\ss}ner
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最新提交年份：
2012
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：General Finance 一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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英文摘要：
We consider fundamental questions of arbitrage pricing arising when the uncertainty model is given by a set of possible mutually singular probability measures. With a single probability model, essential equivalence between the absence of arbitrage and the existence of an equivalent martingale measure is a folk theorem, see Harrison and Kreps (1979). We establish a microeconomic foundation of sublinear price systems and present an extension result. In this context we introduce a prior dependent notion of marketed spaces and viable price systems. We associate this extension with a canonically altered concept of equivalent symmetric martingale measure sets, in a dynamic trading framework under absence of prior depending arbitrage. We prove the existence of such sets when volatility uncertainty is modeled by a stochastic differential equation, driven by Peng's G-Brownian motions.
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PDF链接：
https://arxiv.org/pdf/1202.6632
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