52 citations · 67 across the 2 of their papers we have counts for
3 papers
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…
A trajectorial interpretation of Doob's martingale inequalities
B. Acciaio, M. Beiglböck, F. Penkner +2
We present a unified approach to Doob's maximal inequalities for . The novelty of our method is that these martingale inequalities are obtained as consequence…
Model-independent Bounds for Option Prices: A Mass Transport Approach
Mathias Beiglböck, Pierre Henry-Labordère, Friedrich Penkner
In this paper we investigate model-independent bounds for exotic options written on a risky asset. Based on arguments from the theory of Monge-Kantorovich mass-transport we establi…