Universal arbitrage aggregator in discrete-time markets under uncertainty
نویسندگان
چکیده
منابع مشابه
Universal arbitrage aggregator in discrete-time markets under uncertainty
In a model independent discrete time financial market, we discuss the richness of the family of martingale measures in relation to different notions of Arbitrage, generated by a class S of significant sets, which we call Arbitrage de la classe S. The choice of S reflects into the intrinsic properties of the class of polar sets of martingale measures. In particular: for S = {Ω}, absence of Model...
متن کاملSuperreplication under model uncertainty in discrete time
We study the superreplication of contingent claims under model uncertainty in discrete time. We show that optimal superreplicating strategies exist in a general measure-theoretic setting; moreover, we characterize the minimal superreplication price as the supremum over all continuous linear pricing functionals on a suitable Banach space. The main ingredient is a closedness result for the set of...
متن کاملViability and Arbitrage under Knightian Uncertainty
We reconsider the microeconomic foundations of financial economics under Knightian Uncertainty. In a general framework, we discuss the absence of arbitrage, its relation to economic viability, and the existence of suitable nonlinear pricing expectations. Classical financial markets under risk and no ambiguity are contained as special cases, including various forms of the Efficient Market Hypoth...
متن کاملFirms In Markets Under Uncertainty
We analyze a rational-expectations model of price formation in an intermediategood market under uncertainty. There is a continuum of dyads, each consisting of an upstream party and a downstream party. Both parties can make speci c investments at private cost. As in property-rights models, di¤erent governance structures induce di¤erent investments. As in rational-expectations models, some partie...
متن کاملNo-arbitrage in Discrete-time Markets with Proportional Transaction Costs and General Information structure
We discuss the no-arbitrage conditions in a general framework for discretetime models of financial markets with proportional transaction costs and general information structure. We extend the results of Kabanov and al. (2002), Kabanov and al. (2003) and Schachermayer (2004) to the case where bid-ask spreads are not known with certainty. In the “no-friction” case, we retrieve the result of Kaban...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Finance and Stochastics
سال: 2015
ISSN: 0949-2984,1432-1122
DOI: 10.1007/s00780-015-0283-x