ROBUST FUNDAMENTAL THEOREM FOR CONTINUOUS PROCESSES
نویسندگان
چکیده
منابع مشابه
Robust Fundamental Theorem for Continuous Processes
We study a continuous-time financial market with continuous price processes under model uncertainty, modeled via a family P of possible physical measures. A robust notion NA1(P) of no-arbitrage of the first kind is introduced; it postulates that a nonnegative, nonvanishing claim cannot be superhedged for free by using simple trading strategies. Our first main result is a version of the fundamen...
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ژورنال
عنوان ژورنال: Mathematical Finance
سال: 2015
ISSN: 0960-1627,1467-9965
DOI: 10.1111/mafi.12110