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Consistent price systems under model uncertainty · Study

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ArticleConsistent price systems under model uncertainty

Bruno Bouchard2015

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Articlegreen2015

Consistent price systems under model uncertainty

Bruno Bouchard · Marcel Nutz

21 citations·0/0 files stored·Finance and Stochastics

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Stochastic processes and financial applications Economic theories and models Risk and Portfolio Optimization

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References

2002Stochastic Finance: An Introduction in Discrete Time 2004Stochastic Finance 1990Equivalent martingale measures and no-arbitrage in stochastic securities market models 2004Stochastic finance. an introduction in discrete time 2005The Mathematics of Arbitrage 2003The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time 2015Arbitrage and duality in nondominated discrete-time models 2013Martingale optimal transport and robust hedging in continuous time

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Year2015

Typearticle

Published2015-11-30

VenueFinance and Stochastics

ISSN-L0949-2984

Languageen

Citations21

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s00780-015-0286-7

openalex_workW1597670103

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