Journal article
Robust martingale selection problem and its connections to the no‐arbitrage theory
- Abstract:
- We analyze the martingale selection problem of Rokhlin in a pointwise (robust) setting. We derive conditions for solvability of this problem and show how it is related to the classical no-arbitrage deliberations. We obtain versions of the Fundamental Theorem of Asset Pricing in models spanning frictionless markets, models with proportional transaction costs, and models for illiquid markets. In all these models, we also incorporate trading constraints.
- Publication status:
- Published
- Peer review status:
- Peer reviewed
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- Files:
-
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(Preview, Accepted manuscript, pdf, 366.4KB, Terms of use)
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- Publisher copy:
- 10.1111/mafi.12225
Authors
- Publisher:
- Wiley
- Journal:
- Mathematical Finance More from this journal
- Volume:
- 30
- Issue:
- 1
- Pages:
- 260-286
- Publication date:
- 2019-07-17
- Acceptance date:
- 2019-02-19
- DOI:
- EISSN:
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1467-9965
- ISSN:
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0960-1627
- Language:
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English
- Keywords:
- Pubs id:
-
pubs:1064158
- UUID:
-
uuid:fd98c86b-ac45-4e62-a3ee-145f1a7e254f
- Local pid:
-
pubs:1064158
- Source identifiers:
-
1064158
- Deposit date:
-
2019-11-22
Terms of use
- Copyright holder:
- Wiley Periodicals, Inc
- Copyright date:
- 2019
- Rights statement:
- © 2019 Wiley Periodicals, Inc.
- Notes:
-
This is the accepted manuscript version of the article. The final version is available from Wiley at https://doi.org/10.1111/mafi.12225
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