Arbitrage and Hedging in Model-Independent Markets with Frictions

DOI10.1137/15M1053013zbMath1398.91284arXiv1512.01488OpenAlexW2963808892MaRDI QIDQ2953942

Matteo Burzoni

Publication date: 11 January 2017

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1512.01488

zbMATH Keywords

transaction costsmodel uncertaintyfirst fundamental theorem of asset pricingsuperhedgingrobust finance

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Portfolio theory (91G10)

Related Items (8)

Pathwise superhedging under proportional transaction costs ⋮ MODEL-FREE WEAK NO-ARBITRAGE AND SUPERHEDGING UNDER TRANSACTION COSTS BEYOND EFFICIENT FRICTION ⋮ On intermediate marginals in martingale optimal transportation ⋮ Duality Formulas for Robust Pricing and Hedging in Discrete Time ⋮ Efficient hedging under ambiguity in continuous time ⋮ Unnamed Item ⋮ On the quasi-sure superhedging duality with frictions ⋮ Utility Maximization with Proportional Transaction Costs Under Model Uncertainty

Cites Work

• Separation and duality in locally \(L^0\)-convex modules
• Model-free superhedging duality
• Constructive No-Arbitrage Criterion under Transaction Costs in the Case of Finite Discrete Time

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