Robust Fundamental Theorem for Continuous Processes

@inproceedings{Biagini2015RobustFT,
  title={Robust Fundamental Theorem for Continuous Processes},
  author={Sara Biagini and Bruno Bouchard and Constantinos Kardaras and Marcel Nutz},
  year={2015}
}
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
Highly Cited
This paper has 17 citations. REVIEW CITATIONS

From This Paper

Topics from this paper.
12 Citations
50 References
Similar Papers

Similar Papers

Loading similar papers…