Universal arbitrage aggregator in discrete-time markets under uncertainty
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Publication:261912
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
model uncertaintyfeasible marketfirst fundamental theorem of asset pricingfull support martingale measureopen arbitrage
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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