2013/09/11 by Erhan Bayraktar, Bayraktar, Erhan, Yuchong Zhang +3
Decision Sciences · Economics, Econometrics and Finance · Social Sciences · #FOS: Economics and business #Insurance, Mortality, Demography, Risk Management #Pricing of Securities (q-fin.PR) #Risk and Portfolio Optimization #Stochastic processes and financial applications #q-fin.PR
paper · pdf · doi:10.48550/arxiv.1309.2728
Final version. To appear in Risks
openalex publication_date 2013/09/11 · arxiv created 2014/09/29 · arxiv updated 2014/09/30 · openalex created_date 2019/06/27 · openalex updated_date 2026/08/01
We show that the results of ArXiv:1305.6008 on the Fundamental Theorem of Asset Pricing and the super-hedging theorem can be extended to the case in which the options available for static hedging (hedging options) are quoted with bid-ask spreads. In this set-up, we need to work with the notion of robust no-arbitrage which turns out to be equivalent to no-arbitrage under the additional assumption that hedging options with non-zero spread are non-redundant. A key result is the closedness of the set of attainable claims, which requires a new proof in our setting.