scientific article; zbMATH DE number 7122246

zbMath1426.91278MaRDI QIDQ5240348

Sergey N. Smirnov

Publication date: 25 October 2019

Full work available at URL: http://mathnet.ru/eng/mgta236

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

robustnessstructural stabilityoptionarbitragesuper-replicationBellman-Isaacs equationsmulti-valued mappingabsence of arbitrage opportunitiesdeterministic price dynamicsguaranteed estimates

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (10)

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Cites Work

• Martingales and arbitrage in multiperiod securities markets
• Arbitrage and equilibrium in economies with infinitely many commodities
• Martingales and stochastic integrals in the theory of continuous trading
• The fundamental theorem of asset pricing for unbounded stochastic processes
• On the different notions of arbitrage and existence of equilibrium
• A general version of the fundamental theorem of asset pricing
• Local martingales and the fundamental asset pricing theorems in the discrete-time case
• REPRESENTING MARTINGALE MEASURES WHEN ASSET PRICES ARE CONTINUOUS AND BOUNDED
• General Arbitrage Pricing Model: I – Probability Approach
• Convex Analysis
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