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Nonequilibrium Geometric No-Arbitrage Principle and Asset Pricing Theorem.
- Source :
-
Discrete Dynamics in Nature & Society . 2/10/2023, p1-11. 11p. - Publication Year :
- 2023
-
Abstract
- We find a novel and intimate correspondence in the present paper between the martingale and one-parameter transformation group and develop a nonequilibrium geometric no-arbitrage principle to a frictional financial market via this correspondence. Further, we achieve a fundamental pricing theorem via a geometric pricing transform (generator). Finally, we derive that the nonequilibrium geometric no-arbitrage is equivalent to NFLVR in a frictionless financial market. In addition, we apply the nonequilibrium geometric no-arbitrage condition to a frictional financial market. At the end of this paper, a numerical example confirms the effectiveness of the nonequilibrium geometric no-arbitrage condition. [ABSTRACT FROM AUTHOR]
- Subjects :
- *PRICES
*TRANSFORMATION groups
*FINANCIAL markets
*MARTINGALES (Mathematics)
Subjects
Details
- Language :
- English
- ISSN :
- 10260226
- Database :
- Academic Search Index
- Journal :
- Discrete Dynamics in Nature & Society
- Publication Type :
- Academic Journal
- Accession number :
- 161829590
- Full Text :
- https://doi.org/10.1155/2023/9077099