arXivTrading, Microstructure & Execution
No-arbitrage conditions and pricing from discrete-time to continuous-time strategies
The paper presents a framework for continuous-time financial market models, demonstrating that no-arbitrage conditions apply in continuous time if they apply in discrete time, and super-hedging prices are the same in both times.
Featured in No. 49 on 15 May 2024 · 5 days after release · 4 citations today · published in Annals of Finance
- Released
- 10 May 2024
- First featured
- No. 49 · 15 May 2024
- Citations (Semantic Scholar)
- 4
- Influential citations
- 0
- Published in
- Annals of Finance
- Shares when featured
- 5
- Identifier
- doi:10.1007/s10436-023-00426-1
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).