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No free lunch for markets with multiple num\'eraires

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  • Laurence Carassus

Abstract

We consider a global market constituted by several submarkets, each with its own assets and num\'eraire. We provide theoretical foundations for the existence of equivalent martingale measures and results on superreplication prices which allows to take into account difference of features between submarkets.

Suggested Citation

  • Laurence Carassus, 2021. "No free lunch for markets with multiple num\'eraires," Papers 2107.12885, arXiv.org, revised Dec 2022.
    • Handle: RePEc:arx:papers:2107.12885
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    References listed on IDEAS

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