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...
| Prif Awduron: | , |
|---|---|
| Fformat: | Journal article |
| Iaith: | English |
| Cyhoeddwyd: |
Wiley
2019
|