Robust Martingale Selection Problem and its Connections to the No-Arbitrage Theory
Abstract
Given a collection of random sets V=(Vt) the martingale selection problem consists in finding a stochastic process S taking values in V and such that S is a martingale under a measure Q. We derive conditions for the... [ view full abstract ]
Authors
- Matteo Burzoni (ETH Zurich)
- Mario Sikic (University of Zurich)
Topic Areas
Arbitrage Theory , Market Frictions , Robustness
Session
TU-P-DA » Robust and Model-Free Finance (14:30 - Tuesday, 17th July, Davis)
Presentation Files
The presenter has not uploaded any presentation files.