Robust Fundamental Theorem for Continuous Processes

@article{Biagini2014RobustFT,
  title={Robust Fundamental Theorem for Continuous Processes},
  author={S. Biagini and B. Bouchard and Marcel Nutz},
  journal={Econometric Modeling: Derivatives eJournal},
  year={2014}
}
  • S. Biagini, B. Bouchard, Marcel Nutz
  • Published 2014
  • Economics, Mathematics
  • Econometric Modeling: Derivatives eJournal
  • We study a continuous‐time financial market with continuous price processes under model uncertainty, modeled via a family of possible physical measures. A robust notion 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 fundamental theorem of asset pricing: holds if and only if every admits a martingale measure that is equivalent up to a… CONTINUE READING
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