most citedA model-free version of the fundamental theorem of asset pricing and the super-replication theorem

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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…