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Finite-state superhedging alternative
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Mathematics
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Mathematical optimization
Mathematical finance
Fundamental theorem of asset pricing
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Words: 33
Let
P
be the state-by-asset matrix of discounted gains. There exists
θ
with
Y
−
Pθ
≥
0
exactly when
q
T
Y
≥
0
(36)
for every
q
≥
0
satisfying
P
T
q
=
0
. This is the finite-dimensional cone-separation, or Farkas-duality, form of superhedging.
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Fundamental theorem of asset pricing
Mathematical finance
Mathematical optimization
Area of mathematics
Mathematics
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