Pointwise Arbitrage Pricing Theory in Discrete Time

DOI10.1287/moor.2018.0956zbMath1437.90159arXiv1612.07618OpenAlexW2963451257MaRDI QIDQ5108229

Zhaoxu Hou, Jan Obłój, Matteo Burzoni, Marco Maggis, Marco Frittelli

Publication date: 30 April 2020

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1612.07618

zbMATH Keywords

arbitrage pricing theoryKnightian uncertaintyfundamental theorem of asset pricingmodel ambiguitysuperhedging dualitypointwise stochastic analysisrobust modelling approachsemistatic optimization

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Martingales with discrete parameter (60G42) Minimax problems in mathematical programming (90C47) Optimality conditions and duality in mathematical programming (90C46) Optimal stochastic control (93E20) Derivative securities (option pricing, hedging, etc.) (91G20) Duality theory (optimization) (49N15) Optimality conditions for problems involving randomness (49K45) Robustness in mathematical programming (90C17)

Related Items (21)

Robust estimation of superhedging prices ⋮ Martingale optimal transport duality ⋮ Guaranteed deterministic approach to superhedging: case of binary European option ⋮ Pathwise superhedging under proportional transaction costs ⋮ Distributionally robust portfolio maximization and marginal utility pricing in one period financial markets ⋮ On utility maximization under model uncertainty in discrete‐time markets ⋮ MODEL-FREE WEAK NO-ARBITRAGE AND SUPERHEDGING UNDER TRANSACTION COSTS BEYOND EFFICIENT FRICTION ⋮ Short Communication: The Birth of (a Robust) Arbitrage Theory in de Finetti’s Early Contributions ⋮ Realistic models of financial market and structural stability ⋮ Exponential utility maximization under model uncertainty for unbounded endowments ⋮ Duality for pathwise superhedging in continuous time ⋮ Arbitrage-free modeling under Knightian uncertainty ⋮ On the quasi-sure superhedging duality with frictions ⋮ A guaranteed deterministic approach to superhedging: financial market model, trading constraints, and the Bellman-Isaacs equations ⋮ Conditional nonlinear expectations ⋮ The Robust Superreplication Problem: A Dynamic Approach ⋮ A unified framework for robust modelling of financial markets in discrete time ⋮ Utility Maximization with Proportional Transaction Costs Under Model Uncertainty ⋮ Robust Pricing and Hedging of Options on Multiple Assets and Its Numerics ⋮ Super-replication on illiquid markets—semistatic approach ⋮ Model Uncertainty: A Reverse Approach

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