Arbitrage and duality in nondominated discrete-time models

DOI10.1214/14-AAP1011zbMath1322.60045arXiv1305.6008OpenAlexW3124916374MaRDI QIDQ2341632

Marcel Nutz, Bruno Bouchard

Publication date: 27 April 2015

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1305.6008

zbMATH Keywords

asset pricingmartingale measureKnightian uncertaintydiscrete-time financial marketoptional decompositionnondominated modeloptimal superhedging

Mathematics Subject Classification ID

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