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...

Полное описание

Библиографические подробности
Главные авторы:	Burzoni, M, Frittelli, M, Hou, Z, Maggis, M, Obłój, J
Формат:	Journal article
Опубликовано:	Institute for Operations Research and the Management Sciences 2019

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