Superreplication under model uncertainty in discrete time
Year of publication: |
2014
|
---|---|
Authors: | Nutz, Marcel |
Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 18.2014, 4, p. 791-803
|
Subject: | Knightian uncertainty | Nondominated model | Superreplication | Martingale measure | Medial limit | Hahn-Banach theorem | Martingal | Martingale | Risiko | Risk | Entscheidung unter Unsicherheit | Decision under uncertainty | CAPM | Optionspreistheorie | Option pricing theory |
-
A note on the fundamental theorem of asset pricing under model uncertainty
Bayraktar, Erhan, (2014)
-
Superreplication under model uncertainty in discrete time
Nutz, Marcel, (2014)
-
Utility maximization with proportional transaction costs under model uncertainty
Deng, Shuoqing, (2020)
- More ...
-
Utility Maximization under Model Uncertainty in Discrete Time
Nutz, Marcel, (2013)
-
Arbitrage and duality in nondominated discrete-time models
Bouchard, Bruno, (2013)
-
Weak Dynamic Programming for Generalized State Constraints
Bouchard, Bruno, (2011)
- More ...