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dc.contributor.authorBiagini, Sara
dc.contributor.authorBouchard, Bruno
dc.contributor.authorKardaras, Constantinos
dc.contributor.authorNutz, Marcel
dc.date.accessioned2014-12-03T10:38:34Z
dc.date.available2014-12-03T10:38:34Z
dc.date.issued2015
dc.identifier.issn0960-1627
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/14341
dc.language.isoenen
dc.subjectFundamental Theorem of Asset Pricing
dc.subjectSuperhedging duality
dc.subjectArbitrage of the Firs t Kind
dc.subjectNondominated Model
dc.subject.ddc332en
dc.subject.classificationjelG12en
dc.titleRobust Fundamental Theorem for Continuous Processes
dc.typeArticle accepté pour publication ou publié
dc.contributor.editoruniversityotherDepartments of Statistics and Mathematics, Columbia Unive rsity;États-Unis
dc.contributor.editoruniversityotherDepartment of Statistics, London School of Economics and Po litical Science;Royaume-Uni
dc.contributor.editoruniversityotherDepartment of Economics and Management, University of Pisa;Italie
dc.description.abstractenWe study a continuous-time financial market with continuous price processes under model uncertainty, modeled via a family inline image of possible physical measures. A robust notion inline image 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: inline image holds if and only if every inline image admits a martingale measure that is equivalent up to a certain lifetime. The second main result provides the existence of optimal superhedging strategies for general contingent claims and a representation of the superhedging price in terms of martingale measures.
dc.publisher.cityParisen
dc.relation.isversionofjnlnameMathematical Finance
dc.relation.isversionofjnldate2015
dc.relation.isversionofdoi10.1111/mafi.12110
dc.identifier.urlsitehttps://arxiv.org/abs/1410.4962v2
dc.relation.isversionofjnlpublisherBlackwell
dc.subject.ddclabelEconomie financièreen
dc.description.submittednonen
dc.description.ssrncandidatenon
dc.description.halcandidateoui
dc.description.readershiprecherche
dc.description.audienceInternational
dc.relation.Isversionofjnlpeerreviewedoui
dc.date.updated2016-10-10T15:03:04Z


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