Journal article icon

Journal article

Arbitrage and hedging in model-independent markets with frictions

Abstract:

We provide a fundamental theorem of asset pricing and a superhedging theorem for a model indepen- dent discrete time financial market with proportional transaction costs. We consider a probability- free version of the robust no arbitrage condition introduced by Schachermayer in [Math. Finance, 14 (2004), pp. 19{48] and show that this is equivalent to the existence of consistent price systems. More- over, we prove that the superhedging price for a claim g coincides with the frictionless superh...

Expand abstract
Publication status:
Published
Peer review status:
Peer reviewed

Actions


Access Document


Files:
Publisher copy:
10.1137/15M1053013

Authors


More by this author
Institution:
University of Oxford
Division:
MPLS
Department:
Mathematical Institute
Role:
Author
ORCID:
0000-0002-3741-5790
Publisher:
Society for Industrial and Applied Mathematics
Journal:
SIAM Journal on Financial Mathematics More from this journal
Volume:
7
Issue:
1
Pages:
812-844
Publication date:
2016-11-22
Acceptance date:
2016-09-13
DOI:
ISSN:
1945-497X
Keywords:
Pubs id:
pubs:1063976
UUID:
uuid:1ad5410e-97ff-4457-afa5-35c5e3bee97d
Local pid:
pubs:1063976
Source identifiers:
1063976
Deposit date:
2020-01-06

Terms of use


Views and Downloads






If you are the owner of this record, you can report an update to it here: Report update to this record

TO TOP