Consistent price systems under model uncertainty

DOI10.1007/s00780-015-0286-7zbMath1369.91200arXiv1408.5510OpenAlexW1597670103MaRDI QIDQ261917

Bruno Bouchard, Marcel Nutz

Publication date: 29 March 2016

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

Full work available at URL: https://arxiv.org/abs/1408.5510

zbMATH Keywords

transaction costsmodel uncertaintyrandom setsfundamental theorem of asset pricingset-valued stochastic processessolvency cone

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Optimal stochastic control (93E20) Actuarial science and mathematical finance (91G99)

Related Items

Super-replication with nonlinear transaction costs and volatility uncertainty ⋮ Fundamental Theorem of Asset Pricing Under Transaction Costs and Model Uncertainty ⋮ Pathwise superhedging under proportional transaction costs ⋮ MODEL-FREE WEAK NO-ARBITRAGE AND SUPERHEDGING UNDER TRANSACTION COSTS BEYOND EFFICIENT FRICTION ⋮ On the quasi-sure superhedging duality with frictions ⋮ Utility Maximization with Proportional Transaction Costs Under Model Uncertainty ⋮ Model Uncertainty: A Reverse Approach

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Universal arbitrage aggregator in discrete-time markets under uncertainty
• Martingale optimal transport and robust hedging in continuous time
• Robust hedging with proportional transaction costs
• Optimal arbitrage under model uncertainty
• Markets with transaction costs. Mathematical theory.
• Stochastic optimal control. The discrete time case
• Non-arbitrage criteria for financial markets with efficient friction
• No-arbitrage of second kind in countable markets with proportional transaction costs
• Superreplication under model uncertainty in discrete time
• Arbitrage and duality in nondominated discrete-time models
• Financial economics without probabilistic prior assumptions
• Constructing sublinear expectations on path space
• The mathematics of arbitrage
• A MODEL-FREE VERSION OF THE FUNDAMENTAL THEOREM OF ASSET PRICING AND THE SUPER-REPLICATION THEOREM
• Fundamental Theorem of Asset Pricing Under Transaction Costs and Model Uncertainty
• THE RANGE OF TRADED OPTION PRICES
• Equivalent martingale measures and no-arbitrage in stochastic securities market models
• The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
• Stochastic finance. An introduction in discrete time
• The Harrison-Pliska arbitrage pricing theorem under transaction costs