ON ARBITRAGE AND DUALITY UNDER MODEL UNCERTAINTY AND PORTFOLIO CONSTRAINTS

DOI10.1111/mafi.12104zbMath1411.91541arXiv1402.2596OpenAlexW3122977075MaRDI QIDQ5371134

Erhan Bayraktar, Zhou Zhou

Publication date: 24 October 2017

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1402.2596

zbMATH Keywords

model uncertaintyportfolio constraintsfundamental theorem of asset pricingoptional decompositionsub-(super-)hedging

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

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