A Note on the Fundamental Theorem of Asset Pricing under Model Uncertainty

被引:11
|
作者
Bayraktar, Erhan [1 ]
Zhang, Yuchong [1 ]
Zhou, Zhou [1 ]
机构
[1] Univ Michigan, Dept Math, 530 Church St, Ann Arbor, MI 48109 USA
来源
RISKS | 2014年 / 2卷 / 04期
基金
中国国家自然科学基金; 美国国家科学基金会;
关键词
Model uncertainty; bid-ask prices for options; semi-static hedging; non-dominated collection of probability measures; Fundamental Theorem of Asset Pricing; super-hedging; robust no-arbitrage; non-redundant options;
D O I
10.3390/risks2040425
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
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 to work with the notion of robust no-arbitrage which turns out to be equivalent to no-arbitrage under the additional assumption that hedging options with non-zero spread are non-redundant. A key result is the closedness of the set of attainable claims, which requires a new proof in our setting.
引用
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页码:425 / 455
页数:31
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