Superreplication under Model Uncertainty in Discrete Time
AbstractWe 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.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1301.3227.
Date of creation: Jan 2013
Date of revision: Feb 2014
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-01-26 (All new papers)
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