Advanced Search
MyIDEAS: Login to save this paper or follow this series

Superreplication under Model Uncertainty in Discrete Time

Contents:

Author Info

  • Marcel Nutz
Registered author(s):

    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.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://arxiv.org/pdf/1301.3227
    File Function: Latest version
    Download Restriction: no

    Bibliographic Info

    Paper provided by arXiv.org in its series Papers with number 1301.3227.

    as in new window
    Length:
    Date of creation: Jan 2013
    Date of revision: Feb 2014
    Handle: RePEc:arx:papers:1301.3227

    Contact details of provider:
    Web page: http://arxiv.org/

    Related research

    Keywords:

    This paper has been announced in the following NEP Reports:

    References

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
    as in new window
    1. Pierre Henry-Labordere & Jan Obloj & Peter Spoida & Nizar Touzi, 2013. "Maximum Maximum of Martingales given Marginals," Working Papers hal-00684005, HAL.
    2. Pierre Henry-Labordere & Jan Obloj & Peter Spoida & Nizar Touzi, 2012. "Maximum Maximum of Martingales given Marginals," Papers 1203.6877, arXiv.org, revised Apr 2013.
    3. David G. Hobson, 1998. "Robust hedging of the lookback option," Finance and Stochastics, Springer, vol. 2(4), pages 329-347.
    4. Ariel Neufeld & Marcel Nutz, 2012. "Superreplication under Volatility Uncertainty for Measurable Claims," Papers 1208.6486, arXiv.org, revised Apr 2013.
    5. Bruno Bouchard & Ludovic Moreau & Marcel Nutz, 2012. "Stochastic target games with controlled loss," Papers 1206.6325, arXiv.org, revised Apr 2014.
    6. Frank Riedel, 2011. "Finance Without Probabilistic Prior Assumptions," Papers 1107.1078, arXiv.org.
    7. Marcel Nutz & H. Mete Soner, 2010. "Superhedging and Dynamic Risk Measures under Volatility Uncertainty," Papers 1011.2958, arXiv.org, revised Jun 2012.
    8. J. Jacod & A.N. Shiryaev, 1998. "Local martingales and the fundamental asset pricing theorems in the discrete-time case," Finance and Stochastics, Springer, vol. 2(3), pages 259-273.
    9. Mathias Beiglb\"ock & Pierre Henry-Labord\`ere & Friedrich Penkner, 2011. "Model-independent Bounds for Option Prices: A Mass Transport Approach," Papers 1106.5929, arXiv.org, revised Feb 2013.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as in new window

    Cited by:
    1. Bruno Bouchard & Marcel Nutz, 2013. "Arbitrage and Duality in Nondominated Discrete-Time Models," Papers 1305.6008, arXiv.org, revised Feb 2014.
    2. Sebastian. E. Ferrando & Alfredo L. Gonzalez & Ivan L. Degano & Massoome Rahsepar, 2014. "Discrete, Non Probabilistic Market Models. Arbitrage and Pricing Intervals," Papers 1407.1769, arXiv.org.

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:arx:papers:1301.3227. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (arXiv administrators).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.