Arbitrage and duality in nondominated discrete-time models
نویسندگان
چکیده
منابع مشابه
Arbitrage and Duality in Nondominated Discrete-Time Models
We consider a nondominated model of a discrete-time financial market where stocks are traded dynamically and options are available for static hedging. In a general measure-theoretic setting, we show that absence of arbitrage in a quasi-sure sense is equivalent to the existence of a suitable family of martingale measures. In the arbitrage-free case, we show that optimal superhedging strategies e...
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ژورنال
عنوان ژورنال: The Annals of Applied Probability
سال: 2015
ISSN: 1050-5164
DOI: 10.1214/14-aap1011