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Pricing by hedging and no-arbitrage beyond semimartingales

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Author Info

  • Christian Bender

    ()

  • Tommi Sottinen

    ()

  • Esko Valkeila

    ()

Abstract

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File URL: http://hdl.handle.net/10.1007/s00780-008-0074-8
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Bibliographic Info

Article provided by Springer in its journal Finance and Stochastics.

Volume (Year): 12 (2008)
Issue (Month): 4 (October)
Pages: 441-468

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Handle: RePEc:spr:finsto:v:12:y:2008:i:4:p:441-468

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Web page: http://www.springerlink.com/content/101164/

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Related research

Keywords: Arbitrage; Pricing; Quadratic variation; Robust hedging; G10; G13;

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References

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  1. Paolo Guasoni & Mikl\'os R\'asonyi & Walter Schachermayer, 2008. "Consistent price systems and face-lifting pricing under transaction costs," Papers 0803.4416, arXiv.org.
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Citations

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Cited by:
  1. Xiao, Weilin & Zhang, Weiguo & Xu, Weijun & Zhang, Xili, 2012. "The valuation of equity warrants in a fractional Brownian environment," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(4), pages 1742-1752.
  2. Schied, Alexander, 2014. "Model-free CPPI," Journal of Economic Dynamics and Control, Elsevier, vol. 40(C), pages 84-94.
  3. Alexander Schied, 2013. "Model-free CPPI," Papers 1305.5915, arXiv.org, revised Jan 2014.
  4. Paolo Guasoni & Mikl\'os R\'asonyi & Walter Schachermayer, 2008. "Consistent price systems and face-lifting pricing under transaction costs," Papers 0803.4416, arXiv.org.
  5. Christian Bender, 2012. "Simple arbitrage," Papers 1210.5391, arXiv.org.
  6. Xiao, Wei-Lin & Zhang, Wei-Guo & Zhang, Xi-Li & Wang, Ying-Luo, 2010. "Pricing currency options in a fractional Brownian motion with jumps," Economic Modelling, Elsevier, vol. 27(5), pages 935-942, September.
  7. Erhan Bayraktar & Mikko S. Pakkanen & Hasanjan Sayit, 2009. "On the Existence of Consistent Price Systems," Papers 0911.3789, arXiv.org, revised Jun 2013.
  8. Xiao, Wei-Lin & Zhang, Wei-Guo & Zhang, Xili & Zhang, Xiaoli, 2012. "Pricing model for equity warrants in a mixed fractional Brownian environment and its algorithm," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(24), pages 6418-6431.
  9. Alexander Alvarez & Sebastian Ferrando & Pablo Olivares, 2011. "Arbitrage and Hedging in a non probabilistic framework," Papers 1103.1006, arXiv.org.
  10. Christian Bender & Tommi Sottinen & Esko Valkeila, 2010. "Fractional processes as models in stochastic finance," Papers 1004.3106, arXiv.org.
  11. Rosanna Coviello & Cristina Di Girolami & Francesco Russo, 2011. "On stochastic calculus related to financial assets without semimartingales," Papers 1102.2050, arXiv.org.
  12. Ehsan Azmoodeh & Esko Valkeila, 2013. "Spectral characterization of the quadratic variation of mixed Brownian–fractional Brownian motion," Statistical Inference for Stochastic Processes, Springer, vol. 16(2), pages 97-112, July.
  13. Cristina Di Girolami & Giorgio Fabbri & Francesco Russo, 2013. "The covariation for Banach space valued processes and applications," Documents de recherche 13-01, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.

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