15 citations · 15 across the 1 of their papers we have counts for
2 papers
q-fin.MF2016
The space of outcomes of semi-static trading strategies need not be closed
Beatrice Acciaio, Martin Larsson, Walter Schachermayer
Semi-static trading strategies make frequent appearances in mathematical finance, where dynamic trading in a liquid asset is combined with static buy-and-hold positions in options…
math.PR2013★ 15 cited
A model-free version of the fundamental theorem of asset pricing and the super-replication theorem
Beatrice Acciaio, Mathias Beiglböck, Friedrich Penkner +1
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…