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No-arbitrage with multiple-priors in discrete time · Study

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ArticleNo-arbitrage with multiple-priors in discrete time

Romain Blanchard2020

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Articlebronze2020

No-arbitrage with multiple-priors in discrete time

Romain Blanchard · Laurence Carassus

17 citations·0/0 files stored·Stochastic Processes and their Applications

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Stochastic processes and financial applications Financial Markets and Investment Strategies Risk and Portfolio Optimization

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References

1921Risk, Uncertainty and Profit 1979Option pricing: A simplified approach 1979Martingales and arbitrage in multiperiod securities markets 1981Martingales and stochastic integrals in the theory of continuous trading 2006A 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 2010Function Spaces and Capacity Related to a Sublinear Expectation: Application to G-Brownian Motion Paths

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2021A unified framework for robust modelling of financial markets in discrete time 2020On utility maximization under model uncertainty in discrete‐time markets

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2019The Robust Superreplication Problem: A Dynamic Approacharticle · 15 shared references 2021A unified framework for robust modelling of financial markets in discrete timearticle · 14 shared references 2019Pointwise Arbitrage Pricing Theory in Discrete Timearticle · 13 shared references 2015Universal arbitrage aggregator in discrete-time markets under uncertaintyarticle · 13 shared references 2020On utility maximization under model uncertainty in discrete‐time marketsarticle · 11 shared references 2019Duality for pathwise superhedging in continuous timearticle · 10 shared references

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Year2020

Typearticle

Published2020-06-30

VenueStochastic Processes and their Applications

ISSN-L0304-4149

Languageen

Citations17

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.spa.2020.06.006

openalex_workW2937990419

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