A MODEL-FREE VERSION OF THE FUNDAMENTAL THEOREM OF ASSET PRICING AND THE SUPER-REPLICATION THEOREM

被引：94

作者：

Acciaio, B. ^{[1
,2
]}

Beiglboeck, M. ^{[2
]}

Penkner, F. ^{[2
]}

Schachermayer, W. ^{[2
]}

机构：

[1] Univ Perugia, I-06100 Perugia, Italy

[2] Univ Vienna, A-1090 Vienna, Austria

来源：

MATHEMATICAL FINANCE | 2016年 / 26卷 / 02期

基金：

奥地利科学基金会; 欧洲研究理事会;

关键词：

model-independent pricing; fundamental theorem of asset pricing; super-replication theorem; MARTINGALE; PRICES; ARBITRAGE; MAXIMUM;

D O I：

10.1111/mafi.12060

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We propose a Fundamental Theorem of Asset Pricing and a Super-Replication Theorem in a model-independent framework. We prove these theorems in the setting of finite, discrete time and a market consisting of a risky asset S as well as options written on this risky asset. As a technical condition, we assume the existence of a traded option with a superlinearly growing payoff-function, e.g., a power option. This condition is not needed when sufficiently many vanilla options maturing at the horizon T are traded in the market.

引用

页码：233 / 251

页数：19

共 35 条

[1] A TRAJECTORIAL INTERPRETATION OF DOOB'S MARTINGALE INEQUALITIES [J].