A unified framework for robust modelling of financial markets in discrete time

DOI10.1007/s00780-021-00454-7zbMath1469.91051arXiv1808.06430OpenAlexW3170967628MaRDI QIDQ2049549

Jan Obłój, Johannes Wiesel

Publication date: 27 August 2021

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1808.06430

zbMATH Keywords

dynamic programming principlerobust pricing and hedgingsuperhedgingmodel-independent arbitrage

Mathematics Subject Classification ID

Dynamic programming (90C39) Martingales with continuous parameter (60G44) Financial markets (91G15)

Related Items (5)

Short Communication: Super-Replication Prices with Multiple Priors in Discrete Time ⋮ Pathwise superhedging under proportional transaction costs ⋮ MODEL-FREE WEAK NO-ARBITRAGE AND SUPERHEDGING UNDER TRANSACTION COSTS BEYOND EFFICIENT FRICTION ⋮ Unnamed Item ⋮ The Robust Superreplication Problem: A Dynamic Approach

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