Viability and arbitrage under Knightian uncertainty

M Burzoni, F Riedel, HM Soner - Econometrica, 2021 - Wiley Online Library
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 …

The robust pricing–hedging duality for American options in discrete time financial markets

A Aksamit, S Deng, J Obłój, X Tan - Mathematical Finance, 2019 - Wiley Online Library
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 …

[HTML][HTML] A unified framework for robust modelling of financial markets in discrete time

J Obłój, J Wiesel - Finance and Stochastics, 2021 - Springer
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 …

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 …

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 …