Robust martingale selection problem and its connections to the no‐arbitrage theory
We analyze the martingale selection problem of Rokhlin in a pointwise (robust) setting. We derive conditions for solvability of this problem and show how it is related to the classical no-arbitrage deliberations. We obtain versions of the Fundamental Theorem of Asset Pricing in models spanning frict...
| Main Authors: | , |
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| Format: | Journal article |
| Language: | English |
| Published: |
Wiley
2019
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