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A unified Framework for Robust Modelling of Financial Markets in discrete time

Jan Obloj and Johannes Wiesel

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Abstract: We unify and establish equivalence between pathwise and quasi-sure approaches to robust modelling of financial markets in discrete time. In particular, we prove a Fundamental Theorem of Asset Pricing and a Superhedging Theorem which both encompass the formulations of [BN15] and [BFH+16]. Furthermore we explain how to extend an $\mathcal{M}$-quasi-sure superhedging duality result on a set $\Omega$ to a pathwise duality without changing the superhedging price.

Date: 2018-08
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