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Finance and Stochastics

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01.10.2014

Superreplication under model uncertainty in discrete time

verfasst von: Marcel Nutz

Erschienen in: Finance and Stochastics | Ausgabe 4/2014

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Abstract

We study the superreplication of contingent claims under model uncertainty in discrete time. We show that optimal superreplicating strategies exist in a general measure-theoretic setting; moreover, we characterize the minimal superreplication price as the supremum over all continuous linear pricing functionals on a suitable Banach space. The main ingredient is a closedness result for the set of claims which can be superreplicated from zero capital; its proof relies on medial limits.

Vorheriger Artikel Pricing vulnerable claims in a Lévy-driven model

Nächster Artikel FTAP in finite discrete time with transaction costs by utility maximization

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Titel: Superreplication under model uncertainty in discrete time
verfasst von: Marcel Nutz
Publikationsdatum: 01.10.2014
Verlag: Springer Berlin Heidelberg
Erschienen in: Finance and Stochastics / Ausgabe 4/2014
Print ISSN: 0949-2984
Elektronische ISSN: 1432-1122
DOI: https://doi.org/10.1007/s00780-014-0238-7

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