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

Mathematical finance, 2016-04, Vol.26 (2), p.233-251 [Peer Reviewed Journal]

2013 Wiley Periodicals, Inc. ;2016 Wiley Periodicals, Inc. ;ISSN: 0960-1627 ;EISSN: 1467-9965 ;DOI: 10.1111/mafi.12060

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  • Title:
    A MODEL-FREE VERSION OF THE FUNDAMENTAL THEOREM OF ASSET PRICING AND THE SUPER-REPLICATION THEOREM
  • Author: Acciaio, B. ; Beiglböck, M. ; Penkner, F. ; Schachermayer, W.
  • Subjects: Assets ; Economic theory ; fundamental theorem of asset pricing ; model-independent pricing ; Pricing policies ; Studies ; super-replication theorem ; Theorems ; United States
  • Is Part Of: Mathematical finance, 2016-04, Vol.26 (2), p.233-251
  • Description: 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.
  • Publisher: Oxford: Blackwell Publishing Ltd
  • Language: English
  • Identifier: ISSN: 0960-1627
    EISSN: 1467-9965
    DOI: 10.1111/mafi.12060
  • Source: Alma/SFX Local Collection
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