Universal arbitrage aggregator in discrete-time markets under uncertainty

DOI10.1007/s00780-015-0283-xzbMath1369.91201arXiv1407.0948OpenAlexW2118599684MaRDI QIDQ261912

Marco Frittelli, Matteo Burzoni, Marco Maggis

Publication date: 29 March 2016

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

Full work available at URL: https://arxiv.org/abs/1407.0948

zbMATH Keywords

model uncertaintyfeasible marketfirst fundamental theorem of asset pricingfull support martingale measureopen arbitrage

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Microeconomic theory (price theory and economic markets) (91B24) Applications of stochastic analysis (to PDEs, etc.) (60H30) Duality theory for topological vector spaces (46A20) Actuarial science and mathematical finance (91G99)

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