I am indebted to two anonymous referees and an associate editor for their careful reading and constructive feedback. Many thanks go to Ioannis Karatzas and Hans Föllmer for sharing their insights and for their helpful comments on previous drafts of this work. I am grateful to Michael Agne, Adrian Banner, Daniel Fernholz, Robert Fernholz, Ashley Griffith, Tomoyuki Ichiba, Phi Long Nguen-Tranh, Sergio Pulido, Subhankar Sadhukhan, Emilio Seijo, Li Song, Winslow Strong, Johan Tysk, and Hao Xing for fruitful discussions on the subject matter of this paper. This work was partially supported by the National Science Foundation DMS Grant 09-05754 and by a Faculty Fellowship of Columbia University. Results in this paper are drawn in part from the second chapter of the author’s doctoral thesis Ruf (2011) supervised by Ioannis Karatzas.
HEDGING UNDER ARBITRAGE
Version of Record online: 3 FEB 2012
© 2012 Wiley Periodicals, Inc.
Volume 23, Issue 2, pages 297–317, April 2013
How to Cite
Ruf, J. (2013), HEDGING UNDER ARBITRAGE. Mathematical Finance, 23: 297–317. doi: 10.1111/j.1467-9965.2011.00502.x
- Issue online: 5 MAR 2013
- Version of Record online: 3 FEB 2012
- Manuscript received April 2009; final revision received March 2011.
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