Arbitrage and Hedging in Model-Independent Markets with Frictions

@article{Burzoni2016ArbitrageAH,
  title={Arbitrage and Hedging in Model-Independent Markets with Frictions},
  author={Matteo Burzoni},
  journal={SIAM J. Financial Math.},
  year={2016},
  volume={7},
  pages={812-844}
}
  • M. Burzoni
  • Published 4 December 2015
  • Economics, Computer Science
  • SIAM J. Financial Math.
We provide a Fundamental Theorem of Asset Pricing and a Superhedging Theorem for a model independent discrete time financial market with proportional transaction costs. We consider a probability-free version of the Robust No Arbitrage condition introduced in Schachermayer ['04] and show that this is equivalent to the existence of Consistent Price Systems. Moreover, we prove that the superhedging price for a claim g coincides with the frictionless superhedging price of g for a suitable process… Expand

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