Dynamic spanning without probabilities

DOI10.1016/0304-4149(94)90128-7zbMath0801.90010OpenAlexW2002922339MaRDI QIDQ1327557

Avi Bick, Walter Willinger

Publication date: 12 July 1994

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(94)90128-7

zbMATH Keywords

Black-Scholes modelcontinuous-time tradingnon-probabilistic approach

Mathematics Subject Classification ID

Economic growth models (91B62)

Related Items (21)

Constructing functions with prescribed pathwise quadratic variation ⋮ A superhedging approach to stochastic integration ⋮ Arbitrage pricing with incomplete markets ⋮ Model-Free Portfolio Theory and Its Functional Master Formula ⋮ ARBITRAGE BOUNDS FOR PRICES OF WEIGHTED VARIANCE SWAPS ⋮ Probabilistic aspects of finance ⋮ Option pricing models without probability: a rough paths approach ⋮ A model‐free approach to continuous‐time finance ⋮ Arbitrage and hedging in a non probabilistic framework ⋮ Unnamed Item ⋮ Toward A Convergence Theory For Continuous Stochastic Securities Market Models¹ ⋮ Financial options and statistical prediction intervals ⋮ On (signed) Takagi-Landsberg functions: \(p\)th variation, maximum, and modulus of continuity ⋮ On a class of generalized Takagi functions with linear pathwise quadratic variation ⋮ Model-free CPPI ⋮ Approximations and asymptotics of upper hedging prices in multinomial models ⋮ Continuous-time trading and the emergence of probability ⋮ Model-independent hedging strategies for variance swaps ⋮ Pathwise no-arbitrage in a class of delta hedging strategies ⋮ Uncertain volatility and the risk-free synthesis of derivatives ⋮ Financial economics without probabilistic prior assumptions

Cites Work

• Information structure and equilibrium asset prices
• Pathwise stochastic integration and applications to the theory of continuous trading
• On the use of semimartingales and stochastic integrals to model continuous trading
• Martingales and stochastic integrals in the theory of continuous trading
• Malliavin's calculus and stochastic integral representations of functional of diffusion processes^†
• An Intertemporal General Equilibrium Model of Asset Prices
• On the integral representation of functionals of ltd processest
• From Discrete‐ to Continuous‐Time Finance: Weak Convergence of the Financial Gain Process¹
• On Modeling Questions In Security Valuation
• The Representation of Functionals of Brownian Motion by Stochastic Integrals
• Cauchy-Stieltjes and Riemann-Stieltjes integrals
• Real and functional analysis
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