Pricing by hedging and no-arbitrage beyond semimartingales

DOI10.1007/s00780-008-0074-8zbMath1199.91170OpenAlexW1992293932MaRDI QIDQ2271717

Christian Bender, Esko Valkeila, Tommi Sottinen

Publication date: 8 August 2009

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-008-0074-8

zbMATH Keywords

robust hedgingarbitragepricingquadratic variation

Mathematics Subject Classification ID

Gaussian processes (60G15) Generalizations of martingales (60G48) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

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Cites Work

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