Show simple item record

dc.contributor.authorBouchard, Bruno
dc.contributor.authorNutz, Marcel
dc.date.accessioned2013-05-28T11:25:57Z
dc.date.available2013-05-28T11:25:57Z
dc.date.issued2015
dc.identifier.issn1050-5164
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/11313
dc.language.isoenen
dc.subjectKnightian uncertainty
dc.subjectNondominated model
dc.subjectSuperhedging
dc.subjectOptional decomposition
dc.subjectFundamental Theorem of Asset Pricing
dc.subjectMartingale measure
dc.subject.ddc519en
dc.titleArbitrage and Duality in Nondominated Discrete-Time Models
dc.typeArticle accepté pour publication ou publié
dc.contributor.editoruniversityotherDept. of Mathematics Columbia University;France
dc.contributor.editoruniversityotherCentre de Recherche en Économie et Statistique (CREST) http://www.crest.fr/ INSEE – École Nationale de la Statistique et de l'Administration Économique;France
dc.description.abstractenWe consider a nondominated model of a discrete-time financial market where stocks are traded dynamically and options are available for static hedging. In a general measure-theoretic setting, we show that absence of arbitrage in a quasi-sure sense is equivalent to the existence of a suitable family of martingale measures. In the arbitrage-free case, we show that optimal superhedging strategies exist for general contingent claims, and that the minimal superhedging price is given by the supremum over the martingale measures. Moreover, we obtain a nondominated version of the Optional Decomposition Theorem.
dc.publisher.cityParisen
dc.relation.isversionofjnlnameThe Annals of Applied Probability
dc.relation.isversionofjnlvol25
dc.relation.isversionofjnlissue2
dc.relation.isversionofjnldate2015
dc.relation.isversionofjnlpages823-859
dc.relation.isversionofdoi10.1214/14-AAP1011
dc.identifier.urlsitehttps://arxiv.org/abs/1305.6008v3
dc.relation.isversionofjnlpublisherInstitute of Mathematical Statistics
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.description.submittednonen
dc.description.ssrncandidatenon
dc.description.halcandidateoui
dc.description.readershiprecherche
dc.description.audienceInternational
dc.relation.Isversionofjnlpeerreviewedoui
dc.date.updated2016-10-10T15:11:10Z


Files in this item

FilesSizeFormatView

There are no files associated with this item.

This item appears in the following Collection(s)

Show simple item record