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20052026
most citedA model-free version of the fundamental theorem of asset pricing and the super-replication theorem

15 citations · 23 across the 16 of their papers we have counts for

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Showing 2017 · math.PRShow all

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math.PR2017★ 4 cited

Measure-valued martingales and optimality of Bass-type solutions to the Skorokhod Embedding Problem

Mathias Beiglböck, Alexander M. G. Cox, Martin Huesmann +1

In this paper we consider (probability-)measure valued processes, which we call MVMs, which have a natural martingale structure. Following previous work of Eldan and Cox-Källblad,…