ROBUST FUNDAMENTAL THEOREM FOR CONTINUOUS PROCESSES
By Sara Biagini, Bruno Bouchard, Constantinos Kardaras, Marcel Nutz. 2014
89 citations recorded by the source corpus.
We study a continuous‐time financial market with continuous price processes under model uncertainty, modeled via a family P of possible physical measures. A robust notion NA 1(P) of no‐arbitrage of the first kind is introduced; it postulates that a nonnegative, nonvanishing claim cannot be superhedged for free by using simple trading strategies. Our first main result is a version of the fundamental theorem of asset pricing: NA 1(P) holds if and only if every P∈P admits a martingale measure that is equivalent up to a certain lifetime. The second main result provides the existence of optimal superhedging strategies for general contingent claims and a representation of the superhedging price in terms of martingale measures.
Subfields: Economics and Econometrics, Finance, Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/23743e9e0599af44652c8758cc1dba1221398b32
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Marcel Nutz
- Xiaolu Tan
- Dylan Possamaï
- Mathias Beiglbock
- Nizar Touzi
- Bruno Bouchard
- Nicole El Karoui
- Jianfeng Zhang
In Finance
- Marcel Nutz
- Xiaolu Tan
- Nizar Touzi
- Dylan Possamaï
- Mathias Beiglbock
- Chao Zhou
- Daniel Bartl
- Ariel Neufeld
In Management Science and Operations Research
- Marcel Nutz
- Xiaolu Tan
- Dylan Possamaï
- Nizar Touzi
- Mathias Beiglbock
- Chao Zhou
- Jianfeng Zhang
- Daniel Bartl
Citations in the corpus
- Stochastic control for a class of nonlinear kernels and applications (2015, background): “2) with r = 0, and where the set of measures considered satisfy the predictable martingale representation property (that is the financial market is complete under any of the measures considered) this superhedging price has been thoroughly studied in the recent literature, see among others [2, 6, 25,”
- An Explicit Martingale Version of the One-Dimensional Brenier's Theorem with Full Marginals Constraint (2016, unknown): “For models in continuous-time, we refer to Biagini, Bouchard, Kardaras & Nutz [9], Dolinsky & Soner [25, 26, 27], Juillet [56], Henry-Labordère, Obloj, Spoida & Touzi [39], Källblad, Tan & Touzi [57], Stebegg [73], Bonnans & Tan [10], and Tan & Touzi [74].”
- Complete Duality for Martingale Optimal Transport on the Line (2015, background): “, [1, 8, 12, 13, 14, 19, 33] for models in discrete time and [6, 10, 15, 17, 18, 21, 22, 29, 31, 32, 35, 37] for continuous-time models.”