Arbitrage and hedging in a non probabilistic framework

DOI10.1007/s11579-012-0074-5zbMath1264.91135arXiv1103.1006MaRDI QIDQ1938956

Alexander Alvarez, Pablo Olivares, Sebastian E. Ferrando

Publication date: 26 February 2013

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1103.1006

zbMATH Keywords

fractional Brownian motion; arbitrage; counting process; quadratic variation; non-probabilistic models; Skorokhod's distance

Mathematics Subject Classification ID

91G20: Derivative securities (option pricing, hedging, etc.)

91G50: Corporate finance (dividends, real options, etc.)

Related Items

Unnamed Item, Unnamed Item, Pathwise no-arbitrage in a class of delta hedging strategies

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