英文标题：
《A note on the Fundamental Theorem of Asset Pricing under model
uncertainty》
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作者：
Erhan Bayraktar, Yuchong Zhang, Zhou Zhou
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最新提交年份：
2014
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英文摘要：
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 (\\emph{hedging options}) are quoted with bid-ask spreads. In this set-up, we need to work with the notion of \\emph{robust no-arbitrage} which turns out to be equivalent to no-arbitrage under the additional assumption that hedging options with non-zero spread are \\emph{non-redundant}. A key result is the closedness of the set of attainable claims, which requires a new proof in our setting.
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中文摘要：
我们证明了ArXiv:1305.6008关于资产定价基本定理和超级套期保值定理的结果可以推广到静态套期保值可用的期权（\\emph{hedgeting options}）以买卖价差报价的情况。在这种情况下，我们需要使用稳健无套利的概念，在非零利差的套期保值期权是非冗余的额外假设下，它被证明是等价于无套利的。一个关键的结果是一组可实现的主张的接近性，这需要在我们的环境中进行新的证明。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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