Robust Fundamental Theorem for Continuous Processes

  title={Robust Fundamental Theorem for Continuous Processes},
  author={Sara Biagini and Bruno Bouchard and Constantinos Kardaras and Marcel Nutz},
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 fundamental theorem of asset pricing: NA1(P) holds if and only if every P ∈ P admits a martingale measure… CONTINUE READING
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