Acciaio, Beatrice, Beiglböck, M., Penkner, F. and Schachermayer, W. (2016) A model-free version of the fundamental theorem of asset pricing and the super-replication theorem. Mathematical Finance, 26 (2). 233 - 251. ISSN 0960-1627
Full text not available from this repository.Abstract
We propose a Fundamental Theorem of Asset Pricing and a Super‐Replication Theorem in a model‐independent framework. We prove these theorems in the setting of finite, discrete time and a market consisting of a risky asset S as well as options written on this risky asset. As a technical condition, we assume the existence of a traded option with a superlinearly growing payoff‐function, e.g., a power option. This condition is not needed when sufficiently many vanilla options maturing at the horizon T are traded in the market.
| Item Type: | Article |
|---|---|
| Official URL: | https://onlinelibrary.wiley.com/journal/14679965 |
| Additional Information: | © 2013 Wiley Periodicals, Inc. |
| Divisions: | Statistics |
| Subjects: | H Social Sciences > HG Finance Q Science > QA Mathematics |
| Date Deposited: | 20 Sep 2013 09:21 |
| Last Modified: | 07 Nov 2024 08:45 |
| URI: | http://eprints.lse.ac.uk/id/eprint/52778 |
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