Pointwise Arbitrage Pricing Theory in Discrete Time
Author:
Affiliation:
1. ETH Zurich, 8092 Zürich, Switzerland;
2. University of Milan, 20133 Milano, Lombardia, Italy;
3. University of Oxford, Oxford OX2 6GG, United Kingdom;
4. University of Oxford, Oxford OX2 6GG, United Kingdom
Publisher
Institute for Operations Research and the Management Sciences (INFORMS)
Subject
Management Science and Operations Research,Computer Science Applications,General Mathematics
Reference46 articles.
1. A MODEL-FREE VERSION OF THE FUNDAMENTAL THEOREM OF ASSET PRICING AND THE SUPER-REPLICATION THEOREM
2. Fundamental Theorem of Asset Pricing Under Transaction Costs and Model Uncertainty
3. SUPER-HEDGING AMERICAN OPTIONS WITH SEMI-STATIC TRADING STRATEGIES UNDER MODEL UNCERTAINTY
4. Model-independent bounds for option prices—a mass transport approach
5. Complete duality for martingale optimal transport on the line
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