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Pricing by hedging and no-arbitrage beyond semimartingales

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  • Christian Bender
  • Tommi Sottinen
  • Esko Valkeila

Abstract

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Suggested Citation

  • Christian Bender & Tommi Sottinen & Esko Valkeila, 2008. "Pricing by hedging and no-arbitrage beyond semimartingales," Finance and Stochastics, Springer, vol. 12(4), pages 441-468, October.
    • Handle: RePEc:spr:finsto:v:12:y:2008:i:4:p:441-468
    DOI: 10.1007/s00780-008-0074-8
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    References listed on IDEAS

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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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    More about this item

    Keywords

    Arbitrage; Pricing; Quadratic variation; Robust hedging; G10; G13;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

    Statistics

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