Universal arbitrage aggregator in discrete-time markets under uncertainty

@article{Burzoni2016UniversalAA,
  title={Universal arbitrage aggregator in discrete-time markets under uncertainty},
  author={Matteo Burzoni and Marco Frittelli and Marco Maggis},
  journal={Finance and Stochastics},
  year={2016},
  volume={20},
  pages={1-50}
}
In a model independent discrete time financial market, we discuss the richness of the family of martingale measures in relation to different notions of Arbitrage, generated by a class S of significant sets, which we call Arbitrage de la classe S. The choice of S reflects into the intrinsic properties of the class of polar sets of martingale measures. In… CONTINUE READING