| Autor: |
Erhan Bayraktar, Yuchong Zhang, Zhou Zhou |
| Jazyk: |
angličtina |
| Rok vydání: |
2014 |
| Předmět: |
|
| Zdroj: |
Risks, Vol 2, Iss 4, Pp 425-433 (2014) |
| Druh dokumentu: |
article |
| ISSN: |
2227-9091 |
| DOI: |
10.3390/risks2040425 |
| Popis: |
We show that the recent results on the Fundamental Theorem of Asset Pricing and the super-hedging theorem in the context of model uncertainty can be extended to the case in which the options available for static hedging (hedging options) are quoted with bid-ask spreads. In this set-up, we need to work with the notion of robust no-arbitrage which turns out to be equivalent to no-arbitrage under the additional assumption that hedging options with non-zero spread are non-redundant. A key result is the closedness of the set of attainable claims, which requires a new proof in our setting. |
| Databáze: |
Directory of Open Access Journals |
| Externí odkaz: |
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