Consistent price systems under model uncertainty
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Publication:261917
DOI10.1007/s00780-015-0286-7zbMath1369.91200arXiv1408.5510OpenAlexW1597670103MaRDI QIDQ261917
Publication date: 29 March 2016
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1408.5510
transaction costsmodel uncertaintyrandom setsfundamental theorem of asset pricingset-valued stochastic processessolvency cone
Martingales with discrete parameter (60G42) Optimal stochastic control (93E20) Actuarial science and mathematical finance (91G99)
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Super-replication with nonlinear transaction costs and volatility uncertainty ⋮ Fundamental Theorem of Asset Pricing Under Transaction Costs and Model Uncertainty ⋮ Pathwise superhedging under proportional transaction costs ⋮ MODEL-FREE WEAK NO-ARBITRAGE AND SUPERHEDGING UNDER TRANSACTION COSTS BEYOND EFFICIENT FRICTION ⋮ On the quasi-sure superhedging duality with frictions ⋮ Utility Maximization with Proportional Transaction Costs Under Model Uncertainty ⋮ Model Uncertainty: A Reverse Approach
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