On the support of extremal martingale measures with given marginals: the countable case

@inproceedings{Campi2016OnTS,
  title={On the support of extremal martingale measures with given marginals: the countable case},
  author={Luciano Campi and Claude Martini},
  year={2016}
}
  • Luciano Campi, Claude Martini
  • Published 2016
  • Mathematics, Economics
  • We investigate the supports of extremal martingale measures with pre-specified marginals in a two-period setting. First, we establish in full generality the equivalence between the extremality of a given measure $Q$ and the denseness in $L^1(Q)$ of a suitable linear subspace, which can be seen as the set of all semi-static trading strategies. Moreover, when the supports of both marginals are countable, we focus on the slightly stronger notion of weak exact predictable representation property… CONTINUE READING

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