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...
Hauptverfasser: | Burzoni, M, Frittelli, M, Hou, Z, Maggis, M, Obłój, J |
---|---|
Format: | Journal article |
Veröffentlicht: |
Institute for Operations Research and the Management Sciences
2019
|
Ähnliche Einträge
Ähnliche Einträge
-
Universal arbitrage aggregator in discrete-time markets under uncertainty
von: Burzoni, M, et al.
Veröffentlicht: (2015) -
Model-free superhedging duality
von: Burzoni, M, et al.
Veröffentlicht: (2017) -
Arbitrage Bounds for Prices of Weighted Variance Swaps
von: Davis, M, et al.
Veröffentlicht: (2010) -
Robust martingale selection problem and its connections to the no‐arbitrage theory
von: Burzoni, M, et al.
Veröffentlicht: (2019) -
Arbitrage and hedging in model-independent markets with frictions
von: Burzoni, M
Veröffentlicht: (2016)