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q-fin.PR2023
A short note on super-hedging an arbitrary number of European options with integer-valued strategies
Dorsaf Cherif, Meriam El Mansour, Emmanuel Lepinette
The usual theory of asset pricing in finance assumes that the financial strategies, i.e. the quantity of risky assets to invest, are real-valued so that they are not integer-valued…
q-fin.PR2023
Robust discrete-time super-hedging strategies under AIP condition and under price uncertainty
Meriam El Mansour, Emmanuel Lepinette
We solve the problem of super-hedging European or Asian options for discrete-time financial market models where executable prices are uncertain. The risky asset prices are not desc…