Financial economics without probabilistic prior assumptions

DOI10.1007/s10203-014-0159-0zbMath1398.91613OpenAlexW2012206417MaRDI QIDQ2343120

Frank Riedel

Publication date: 4 May 2015

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10203-014-0159-0

zbMATH Keywords

infinite-dimensional linear programmingfull support martingale measurefundamental theorem of asset pricingsuperhedgingprobability-free finance

Mathematics Subject Classification ID

Linear programming (90C05) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (12)

Optimal payoffs for directionally closed acceptance sets ⋮ Robust pricing-hedging dualities in continuous time ⋮ Unnamed Item ⋮ Pointwise Arbitrage Pricing Theory in Discrete Time ⋮ Duality Formulas for Robust Pricing and Hedging in Discrete Time ⋮ Complete and competitive financial markets in a complex world ⋮ Asset pricing in an imperfect world ⋮ Arbitrage-free modeling under Knightian uncertainty ⋮ Pathwise no-arbitrage in a class of delta hedging strategies ⋮ A unified framework for robust modelling of financial markets in discrete time ⋮ Universal arbitrage aggregator in discrete-time markets under uncertainty ⋮ Consistent price systems under model uncertainty

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