We show that the results of the Fundamental Theorem of Asset Pricing and the super-hedging theorem 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...

This paper studies a time-inconsistent dividend problem in discrete time with nonex- ponential discounting. Motivated by the decreasing impatience in behaviour economics, a general discount function is used and assumed to be log sub-additive. Using a game-theoretic approach equilibrium barrier...

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...

Despite the increasing dominance of digital technology in modern communications, face-to-face interactions are believed to play an irreplaceable role in facilitating complex crossborder business transactions. However, empirical research to identify the impact often faces the challenge of two-way...

We consider the fundamental theorem of asset pricing (FTAP) and hedging prices of options under non-dominated model uncertainty and portfolio constrains in discrete time. We first show that no arbitrage holds if and only if there exists some family of probability measures such that any...

We consider a financial model where stocks are available for dynamic trading, and European and American options are available for static trading (semi-static trading strategies). We assume that the American options are infinitely divisible, and can only be bought but not sold. We first get the...

We consider the optimal stopping problem $v^{(\eps)}:=\sup_{\tau\in\mathcal{T}_{0,T}}\mathbb{E}B_{(\tau-\eps)^+}$ posed by Shiryaev at the International Conference on Advanced Stochastic Optimization Problems organized by the Steklov Institute of Mathematics in September 2012. Here $T0$ is a...