Expensive martingales
研究了仅交易离散欧式期权的市场中无套利条件，构造了能重新定价所有给定期权且成本最高的鞅，并提供了调整市场数据及纳入弱信息（如远期开始期权估计价格）的算法。
We characterize strictly arbitrage-free markets of European options where only a discrete set of options is traded. We then construct martingales which reprice all given options and which are 'most expensive' among all martingales with this property. We also present algorithms to adjust real-life market data and to construct expensive martingales while taking into account additional 'weak' information: estimated prices of more exotic products such as, for example, forward started options.