Please use this identifier to cite or link to this item:
Bayraktar, Erhan
Zhang, Yuchong
Zhou, Zhou
Year of Publication: 
[Journal:] Risks [ISSN:] 2227-9091 [Volume:] 2 [Year:] 2014 [Issue:] 4 [Pages:] 425-433
We show that the recent results on the Fundamental Theorem of Asset Pricing and the super-hedging theorem in the context of model uncertainty 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.
model uncertainty
bid-ask prices for options
semi-static hedging
non-dominated collection of probability measures
Fundamental Theorem of Asset Pricing
robust no-arbitrage
non-redundant options
Persistent Identifier of the first edition: 
Creative Commons License:
Document Type: 
Appears in Collections:

Files in This Item:
236.38 kB

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.