Pointwise arbitrage pricing theory in discrete time

Pointwise arbitrage pricing theory in discrete time

We develop a robust framework for pricing and hedging of derivative securities in discrete-time financial markets. We consider markets with both dynamically and statically traded assets and make minimal measurability assumptions. We obtain abstract (pointwise) fundamental theorem of asset pricing an...

書誌詳細
主要な著者:	Burzoni, M, Frittelli, M, Hou, Z, Maggis, M, Obłój, J
フォーマット:	Journal article
出版事項:	Institute for Operations Research and the Management Sciences 2019

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