Viability and arbitrage under Knightian uncertainty
We reconsider the microeconomic foundations of financial economics. Motivated by the
importance of Knightian uncertainty in markets, we present a model that does not carry any …
importance of Knightian uncertainty in markets, we present a model that does not carry any …
The robust pricing–hedging duality for American options in discrete time financial markets
We investigate the pricing–hedging duality for American options in discrete time financial
models where some assets are traded dynamically and others, for example, a family of …
models where some assets are traded dynamically and others, for example, a family of …
[HTML][HTML] A unified framework for robust modelling of financial markets in discrete time
We unify and establish equivalence between the pathwise and the quasi-sure approaches
to robust modelling of financial markets in finite discrete time. In particular, we prove a …
to robust modelling of financial markets in finite discrete time. In particular, we prove a …
Option pricing with delayed information
T Ichiba, SM Mousavi - arXiv preprint arXiv:1707.01600, 2017 - arxiv.org
We propose a model to study the effects of delayed information on option pricing. We first
talk about the absence of arbitrage in our model, and then discuss super replication with …
talk about the absence of arbitrage in our model, and then discuss super replication with …
Robust martingale selection problem and its connections to the no‐arbitrage theory
M Burzoni, M Šikić - Mathematical Finance, 2020 - Wiley Online Library
We analyze the martingale selection problem of Rokhlin in a pointwise (robust) setting. We
derive conditions for solvability of this problem and show how it is related to the classical no …
derive conditions for solvability of this problem and show how it is related to the classical no …