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Corrigendum to: “Pricing and valuation under the real-world measure”. (English) Zbl 1395.91403

Summary: In order to prove the third fundamental theorem of asset pricing for financial markets with infinite lifetime in [the author, ibid. 19, No. 1, Article ID 1650006, 39 p. (2016; Zbl 1395.91402)], we shall assume that the discounted price process is locally bounded. Otherwise, some principal results developed by F. Delbaen and W. Schachermayer [Ann. Inst. Henri Poincaré, Probab. Stat. 33, No. 1, 113–144 (1997; Zbl 0872.90008)] cannot be applied.

MSC:

91G10 Portfolio theory
60G44 Martingales with continuous parameter
91B25 Asset pricing models (MSC2010)
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References:

[1] Delbaen, F.; Schachermayer, W., The Banach space of workable contingent claims in arbitrage theory, Annales de l’Institut Henri Poincaré, 1, 114-144, (1997) · Zbl 0872.90008
[2] Delbaen, F.; Schachermayer, W., The fundamental theorem of asset pricing for unbounded stochastic processes, Mathematische Annalen, 312, 215-250, (1998) · Zbl 0917.60048
[3] Delbaen, F.; Schachermayer, W.; Johnson, W. B.; Lindenstrauss, J., Handbook of the Geometry of Banach Spaces, Applications to mathematical finance, 367-391, (2001), Elsevier, Amsterdam · Zbl 1013.46062
[4] Frahm, G., Pricing and valuation under the real-world measure, International Journal of Theoretical and Applied Finance, 19, 1650006, (2016) · Zbl 1395.91402
[5] Jacod, J.; Shiryaev, A. N., Limit Theorems for Stochastic Processes, (2003), Springer, Berlin, Heidelberg · Zbl 1018.60002
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