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• W2951461013 abstract "We study a continuous-time financial market with continuous price processes under model uncertainty, modeled via a family $mathcal{P}$ of possible physical measures. A robust notion ${rm NA}_{1}(mathcal{P})$ of no-arbitrage of the first kind is introduced; it postulates that a nonnegative, nonvanishing claim cannot be superhedged for free by using simple trading strategies. Our first main result is a version of the fundamental theorem of asset pricing: ${rm NA}_{1}(mathcal{P})$ holds if and only if every $Pinmathcal{P}$ admits a martingale measure which is equivalent up to a certain lifetime. The second main result provides the existence of optimal superhedging strategies for general contingent claims and a representation of the superhedging price in terms of martingale measures." @default.
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• W2951461013 date "2014-10-18" @default.
• W2951461013 modified "2023-10-01" @default.
• W2951461013 title "Robust Fundamental Theorem for Continuous Processes" @default.
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