Publications in Scientific Journals:
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;
233
- 251.
English abstract:
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.
Electronic version of the publication:
http://onlinelibrary.wiley.com/doi/10.1111/mafi.2016.26.issue-2/issuetoc
Created from the Publication Database of the Vienna University of Technology.