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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…
math.PR2012★ 52 cited
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…