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Universal arbitrage aggregator in discrete-time markets under uncertainty

Abstract:

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$\mathcal{S}$ of significant sets, which we call arbitrage de la classeS$\mathcal{S}$. The choice of S$\mathcal{S}$ reflects the intrinsic properties of the class of polar sets of martingale measures. In particular, for S={Ω}$\mathcal{S}=\{ \Omega\} $, absence of model-independent arbitrage is equivalent to the...

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Publication status:
Published
Peer review status:
Peer reviewed

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Publisher copy:
10.1007/s00780-015-0283-x

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Institution:
University of Oxford
Division:
MPLS
Department:
Mathematical Institute
Role:
Author
ORCID:
0000-0002-3741-5790
Publisher:
Springer
Journal:
Finance and Stochastics More from this journal
Volume:
20
Pages:
1-50
Publication date:
2015-11-12
Acceptance date:
2015-05-03
DOI:
EISSN:
1432-1122
ISSN:
0949-2984
Keywords:
Pubs id:
pubs:1063975
UUID:
uuid:25371043-9ba6-45d1-bb0a-86804c357edb
Local pid:
pubs:1063975
Source identifiers:
1063975
Deposit date:
2020-01-06

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