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Universal arbitrage aggregator in discrete-time markets under uncertainty · Study

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ArticleUniversal arbitrage aggregator in discrete-time markets under uncertainty

Matteo Burzoni2015

OA

Articlegreen2015

Universal arbitrage aggregator in discrete-time markets under uncertainty

Matteo Burzoni · Marco Frittelli · Marco Maggis

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

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Stochastic processes and financial applications Financial Markets and Investment Strategies Economic theories and models

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References

2008A General Version of the Fundamental Theorem of Asset Pricing (1994)1994A general version of the fundamental theorem of asset pricing 2002Stochastic Finance: An Introduction in Discrete Time 1999Infinite Dimensional Analysis 1998The fundamental theorem of asset pricing for unbounded stochastic processes 2004Stochastic Finance 2019Nonlinear Expectations and Stochastic Calculus under Uncertainty 2010Function Spaces and Capacity Related to a Sublinear Expectation: Application to G-Brownian Motion Paths

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2019Pointwise Arbitrage Pricing Theory in Discrete Time 2020Martingale optimal transport duality 2021Viability and Arbitrage Under Knightian Uncertainty

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Year2015

Typearticle

Published2015-11-12

VenueFinance and Stochastics

ISSN-L0949-2984

Languageen

Citations55

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s00780-015-0283-x

openalex_workW2118599684

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