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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| Formato: | Journal article |
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Society for Industrial and Applied Mathematics
2016
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