HEDGING UNDER ARBITRAGE

DOI10.1111/j.1467-9965.2011.00502.xzbMath1262.91138arXiv1003.4797OpenAlexW3122466678MaRDI QIDQ4917300

Johannes Ruf

Publication date: 29 April 2013

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1003.4797

zbMATH Keywords

optionsBessel processhedgingdiffusionsarbitragebubblespricingstochastic flowstrading strategiescontinuous timeFöllmer measurestochastic portfolio theorylocal martingalesSchauder estimatesstochastic discount factormarket price of riskbenchmark approachblackput-call-parityScholes PDE

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (35)

Scaled insurance cash flows: representation and computation via change of measure techniques ⋮ Distribution of the time to explosion for one-dimensional diffusions ⋮ Relative asset price bubbles ⋮ Functional Portfolio Optimization in Stochastic Portfolio Theory ⋮ No-arbitrage up to random horizon for quasi-left-continuous models ⋮ Pathwise superreplication via Vovk's outer measure ⋮ Log-Optimal Portfolio without NFLVR: Existence, Complete Characterization, and Duality ⋮ The existence of dominating local martingale measures ⋮ How non-arbitrage, viability and numéraire portfolio are related ⋮ Exploiting arbitrage requires short selling ⋮ The Black–Scholes equation in the presence of arbitrage ⋮ DETERMINISTIC CRITERIA FOR THE ABSENCE AND EXISTENCE OF ARBITRAGE IN MULTI-DIMENSIONAL DIFFUSION MARKETS ⋮ Outperforming the market portfolio with a given probability ⋮ The fundamental theorem of asset pricing, the hedging problem and maximal claims in financial markets with short sales prohibitions ⋮ Fundamental theorems of asset pricing for piecewise semimartingales of stochastic dimension ⋮ Negative call prices ⋮ On the hedging of options on exploding exchange rates ⋮ Optimal arbitrage under model uncertainty ⋮ Implied Volatility in Strict Local Martingale Models ⋮ THE MEANING OF MARKET EFFICIENCY ⋮ Polynomial processes in stochastic portfolio theory ⋮ Deterministic criteria for the absence of arbitrage in~one-dimensional diffusion models ⋮ Strict local martingales with jumps ⋮ No-arbitrage under additional information for thin semimartingale models ⋮ Pathwise stochastic integrals for model free finance ⋮ On an Optional Semimartingale Decomposition and the Existence of a Deflator in an Enlarged Filtration ⋮ Supermartingales as Radon-Nikodym densities and related measure extensions ⋮ Diffusion-Based Models for Financial Markets Without Martingale Measures ⋮ WEAK AND STRONG NO-ARBITRAGE CONDITIONS FOR CONTINUOUS FINANCIAL MARKETS ⋮ A Mathematical Theory of Financial Bubbles ⋮ THE EFFECT OF TRADING FUTURES ON SHORT SALE CONSTRAINTS ⋮ Market Models with Optimal Arbitrage ⋮ Valuation and Parities for Exchange Options ⋮ Fragility of arbitrage and bubbles in local martingale diffusion models ⋮ Strict local martingales and bubbles

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