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As a simple corollary to Delbaen and Schachermayer's fundamental theorem of asset pricing [5] [6] [7], we prove, in a general finite-dimensional semimartingale setting, that the no unbounded profit with bounded risk (NUPBR) condition is equivalent to the existence of a strict martingale density for the price process. This extends the result of Choulli and(More)
This paper provides a tractable framework to study optimal risk sharing between an investor and a firm with general utility forms in the presence of moral hazard under market risk and jump risk. We show that, for a two-date discrete-time moral hazard model, there exists a continuous-time model that obtains the same optimal result. Moreover, we characterize(More)
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