A Note on the Fundamental Theorem of Asset Pricing under Model Uncertainty

A Note on the Fundamental Theorem of Asset Pricing under Model Uncertainty

We show that the recent results on the Fundamental Theorem of Asset Pricing and the super-hedging theorem in the context of model uncertainty can be extended to the case in which the options available for static hedging (hedging options) are quoted with bid-ask spreads. In this set-up, we need to wo...

Full description

Bibliographic Details
Main Authors: Erhan Bayraktar, Yuchong Zhang, Zhou Zhou
Format: Article
Language:English
Published: MDPI AG 2014-10-01
Series:Risks
Subjects:
Model uncertainty
bid-ask prices for options
semi-static hedging
non-dominated collection of probability measures
Fundamental Theorem of Asset Pricing
super-hedging
robust no-arbitrage
non-redundant options
Online Access:http://www.mdpi.com/2227-9091/2/4/425

Internet

http://www.mdpi.com/2227-9091/2/4/425

Similar Items