Dynamic spanning without probabilities

DOI10.1016/0304-4149(94)90128-7MaRDI QIDQ1327557zbMATH OpenOpenAlexFDO

Authors Avi Bick, Walter Willinger

Publication date 12 July 1994

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4149(94)90128-7

zbMATH Keywords

Black-Scholes modelcontinuous-time tradingnon-probabilistic approach

Mathematics Subject Classification ID

Economic growth models (91B62)

Recommendations

• Trajectory-based models, arbitrage and continuity
• Continuous-time trading and the emergence of probability
• scientific article; zbMATH DE number 2134080
• DYNAMIC SPANNING: ARE OPTIONS AN APPROPRIATE INSTRUMENT?
• Arbitrage and hedging in a non probabilistic framework

Cites work

• scientific article; zbMATH DE number 3883355 (Why is no real title available?)
• scientific article; zbMATH DE number 4081235 (Why is no real title available?)
• scientific article; zbMATH DE number 3721834 (Why is no real title available?)
• scientific article; zbMATH DE number 3778410 (Why is no real title available?)
• scientific article; zbMATH DE number 45955 (Why is no real title available?)
• scientific article; zbMATH DE number 3319664 (Why is no real title available?)
• scientific article; zbMATH DE number 3338633 (Why is no real title available?)
• scientific article; zbMATH DE number 3182326 (Why is no real title available?)
• scientific article; zbMATH DE number 3044844 (Why is no real title available?)
• scientific article; zbMATH DE number 3054243 (Why is no real title available?)
• scientific article; zbMATH DE number 3085434 (Why is no real title available?)
• An Intertemporal General Equilibrium Model of Asset Prices
• Cauchy-Stieltjes and Riemann-Stieltjes integrals
• From Discrete‐ to Continuous‐Time Finance: Weak Convergence of the Financial Gain Process¹
• Information structure and equilibrium asset prices
• Malliavin's calculus and stochastic integral representations of functional of diffusion processes^†
• Martingales and stochastic integrals in the theory of continuous trading
• On Modeling Questions In Security Valuation
• On the integral representation of functionals of ltd processest
• On the use of semimartingales and stochastic integrals to model continuous trading
• Pathwise stochastic integration and applications to the theory of continuous trading
• Real and functional analysis
• The Representation of Functionals of Brownian Motion by Stochastic Integrals

Cited in

(22)

• Arbitrage and hedging in a non probabilistic framework
• Uncertain volatility and the risk-free synthesis of derivatives
• On (signed) Takagi-Landsberg functions: \(p\)th variation, maximum, and modulus of continuity
• Toward A Convergence Theory For Continuous Stochastic Securities Market Models¹
• Arbitrage pricing with incomplete markets
• Financial options and statistical prediction intervals
• A superhedging approach to stochastic integration
• Constructing functions with prescribed pathwise quadratic variation
• MARGIN TRADING THROUGH HYPER TIMELINE
• Continuous-time trading and the emergence of probability
• Pathwise no-arbitrage in a class of delta hedging strategies
• Financial modelling with multivariate mixed fractional Brownian motion
• Approximations and asymptotics of upper hedging prices in multinomial models
• Model-independent hedging strategies for variance swaps
• Probabilistic aspects of finance
• Financial economics without probabilistic prior assumptions
• Arbitrage bounds for prices of weighted variance swaps
• Model-free portfolio theory and its functional master formula
• Option pricing models without probability: a rough paths approach
• Model-free CPPI
• A model‐free approach to continuous‐time finance
• On a class of generalized Takagi functions with linear pathwise quadratic variation

This page was built for publication: Dynamic spanning without probabilities

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1327557)