Bayraktar, Erhan; Zhang, Yuchong; Zhou, Zhou - In: Risks : open access journal 2 (2014) 4, pp. 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...