Arbitrage and hedging in model-independent markets with frictions
We provide a fundamental theorem of asset pricing and a superhedging theorem for a model indepen- dent discrete time financial market with proportional transaction costs. We consider a probability- free version of the robust no arbitrage condition introduced by Schachermayer in [Math. Finance, 14 (2...
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| Format: | Journal article |
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Society for Industrial and Applied Mathematics
2016
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| _version_ | 1826261558439706624 |
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| author | Burzoni, M |
| author_facet | Burzoni, M |
| author_sort | Burzoni, M |
| collection | OXFORD |
| description | We provide a fundamental theorem of asset pricing and a superhedging theorem for a model indepen- dent discrete time financial market with proportional transaction costs. We consider a probability- free version of the robust no arbitrage condition introduced by Schachermayer in [Math. Finance, 14 (2004), pp. 19{48] and show that this is equivalent to the existence of consistent price systems. More- over, we prove that the superhedging price for a claim g coincides with the frictionless superhedging price of g for a suitable process in the bid-ask spread. |
| first_indexed | 2024-03-06T19:23:15Z |
| format | Journal article |
| id | oxford-uuid:1ad5410e-97ff-4457-afa5-35c5e3bee97d |
| institution | University of Oxford |
| last_indexed | 2024-03-06T19:23:15Z |
| publishDate | 2016 |
| publisher | Society for Industrial and Applied Mathematics |
| record_format | dspace |
| spelling | oxford-uuid:1ad5410e-97ff-4457-afa5-35c5e3bee97d2022-03-26T10:56:58ZArbitrage and hedging in model-independent markets with frictionsJournal articlehttp://purl.org/coar/resource_type/c_dcae04bcuuid:1ad5410e-97ff-4457-afa5-35c5e3bee97dSymplectic Elements at OxfordSociety for Industrial and Applied Mathematics2016Burzoni, MWe provide a fundamental theorem of asset pricing and a superhedging theorem for a model indepen- dent discrete time financial market with proportional transaction costs. We consider a probability- free version of the robust no arbitrage condition introduced by Schachermayer in [Math. Finance, 14 (2004), pp. 19{48] and show that this is equivalent to the existence of consistent price systems. More- over, we prove that the superhedging price for a claim g coincides with the frictionless superhedging price of g for a suitable process in the bid-ask spread. |
| spellingShingle | Burzoni, M Arbitrage and hedging in model-independent markets with frictions |
| title | Arbitrage and hedging in model-independent markets with frictions |
| title_full | Arbitrage and hedging in model-independent markets with frictions |
| title_fullStr | Arbitrage and hedging in model-independent markets with frictions |
| title_full_unstemmed | Arbitrage and hedging in model-independent markets with frictions |
| title_short | Arbitrage and hedging in model-independent markets with frictions |
| title_sort | arbitrage and hedging in model independent markets with frictions |
| work_keys_str_mv | AT burzonim arbitrageandhedginginmodelindependentmarketswithfrictions |