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Super-replication prices with multiple-priors in discrete time

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  • Romain Blanchard
  • Laurence Carassus

Abstract

In the frictionless discrete time financial market of Bouchard and Nutz (2015), we propose a full characterization of the quasi-sure super-replication price: as the supremum of the mono-prior super-replication prices, through an extreme prior and through martingale measures.

Suggested Citation

  • Romain Blanchard & Laurence Carassus, 2022. "Super-replication prices with multiple-priors in discrete time," Papers 2202.06534, arXiv.org.
    • Handle: RePEc:arx:papers:2202.06534
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    References listed on IDEAS

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    1. Laurence Carassus & Jan Obloj & Johannes Wiesel, 2018. "The robust superreplication problem: a dynamic approach," Papers 1812.11201, arXiv.org, revised Feb 2019.
    2. Daniel Bartl, 2016. "Exponential utility maximization under model uncertainty for unbounded endowments," Papers 1610.00999, arXiv.org, revised Feb 2019.
    3. Matteo Burzoni & Marco Maggis, 2019. "Arbitrage-free modeling under Knightian Uncertainty," Papers 1909.04602, arXiv.org, revised Apr 2020.
    4. Charalambos D. Aliprantis & Kim C. Border, 2006. "Infinite Dimensional Analysis," Springer Books, Springer, edition 0, number 978-3-540-29587-7, December.
    5. Jan Obłój & Johannes Wiesel, 2021. "A unified framework for robust modelling of financial markets in discrete time," Finance and Stochastics, Springer, vol. 25(3), pages 427-468, July.
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