Superreplication under Model Uncertainty in Discrete Time
arXiv:1301.3227
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.
14 pages; forthcoming in 'Finance and Stochastics'
References in corpus (4)
- A theoretical framework for the pricing of contingent claims in the presence of model uncertainty
- A model-free version of the fundamental theorem of asset pricing and the super-replication theorem
- Martingale Inequalities and Deterministic Counterparts
- Martingale Optimal Transport and Robust Hedging in Continuous Time