7 citations · 14 across the 8 of their papers we have counts for
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q-fin.MF2015
Arbitrage and Hedging in model-independent markets with frictions
Matteo Burzoni
We provide a Fundamental Theorem of Asset Pricing and a Superhedging Theorem for a model independent discrete time financial market with proportional transaction costs. We consider…
q-fin.MF2015★ 7 cited
Model-free Superhedging Duality
Matteo Burzoni, Marco Frittelli, Marco Maggis
In a model free discrete time financial market, we prove the superhedging duality theorem, where trading is allowed with dynamic and semi-static strategies. We also show that the i…