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A MODEL-FREE VERSION OF THE FUNDAMENTAL THEOREM OF ASSET PRICING AND THE SUPER-REPLICATION THEOREM

  • Published:2013-12-06 Issue:2 Volume:26 Page:233-251
  • ISSN:0960-1627
  • Container-title:Mathematical Finance
  • language:en
  • Short-container-title:Mathematical Finance

Author:

Acciaio B.1,Beiglböck M.2,Penkner F.2,Schachermayer W.2

Affiliation:

1. University of Perugia and University of Vienna

2. University of Vienna

Publisher

Wiley

Subject

Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting

Reference35 articles.

1. Model-independent Bounds for Option Prices: A Mass Transport Approach;Beiglböck,2013

2. Beiglböck , M. N. Juillet 2012 On a Problem of Optimal Transport Under Marginal Martingale Constraints 1 51

3. Prices of State-Contingent Claims Implicit in Option Prices;Breeden;J. Business,1978

4. Robust Hedging of Barrier Options;Brown;Math. Finance,2001

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