Robust martingale selection problem and its connections to the no-arbitrage theory
published by Matteo Burzoni
in 2018
in Financial
and research's language is
English
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Abstract in English
We analyze the martingale selection problem of Rokhlin (2006) in a pointwise (robust) setting. We derive conditions for solvability of this problem and show how it is related to the classical no-arbitrage deliberations. We obtai