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arXiv · 2107.12885

No free lunch for markets with multiple numéraires

Laurence Carassus
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Abstract

We consider a global market constituted by several submarkets, each with its own assets and numéraire. 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.

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Laurence Carassus. 2022-12-24. No free lunch for markets with multiple numéraires. https://doi.org/10.1016/j.jmateco.2022.102805

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