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Zeitschriftenartikel:

B. Acciaio, M. Beiglböck, F. Penkner, W. Schachermayer:
"A Model-free Version of the Fundamental Theorem of Asset Pricing and the Super-Replication Theorem";
Mathematical Finance, Volume 26 (2016), Issue 2, April; S. 233 - 251.



Kurzfassung englisch:
We propose a Fundamental Theorem of Asset Pricing and a Super-Replication Theorem in a model-independent framework. We prove these theorems in the setting of finite, discrete time and a market consisting of a risky asset S as well as options written on this risky asset. As a technical condition, we assume the existence of a traded option with a superlinearly growing payoff-function, e.g., a power option. This condition is not needed when sufficiently many vanilla options maturing at the horizon T are traded in the market.


Elektronische Version der Publikation:
http://onlinelibrary.wiley.com/doi/10.1111/mafi.2016.26.issue-2/issuetoc


Erstellt aus der Publikationsdatenbank der Technischen Universitšt Wien.