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...
Những tác giả chính: | Burzoni, M, Frittelli, M, Hou, Z, Maggis, M, Obłój, J |
---|---|
Định dạng: | Journal article |
Được phát hành: |
Institute for Operations Research and the Management Sciences
2019
|
Những quyển sách tương tự
-
Universal arbitrage aggregator in discrete-time markets under uncertainty
Bằng: Burzoni, M, et al.
Được phát hành: (2015) -
Model-free superhedging duality
Bằng: Burzoni, M, et al.
Được phát hành: (2017) -
Arbitrage Bounds for Prices of Weighted Variance Swaps
Bằng: Davis, M, et al.
Được phát hành: (2010) -
Robust martingale selection problem and its connections to the no‐arbitrage theory
Bằng: Burzoni, M, et al.
Được phát hành: (2019) -
Arbitrage and hedging in model-independent markets with frictions
Bằng: Burzoni, M
Được phát hành: (2016)