Superreplication under model uncertainty in discrete time (Q2255006): Difference between revisions
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Revision as of 17:25, 22 February 2024
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English | Superreplication under model uncertainty in discrete time |
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Superreplication under model uncertainty in discrete time (English)
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6 February 2015
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The author studies the superreplication of contingent claims under model uncertainty. In the worst case approach to deal with this Knightian uncertainty, it is required that the superreplication holds for a family of measures. There is no result in discrete time and the problem is herein approached using medial limits. Bearing in mind some facts about medial limits, the market model and some closedness results are described, and then the main superreplication result is stated, which shows that optimal superreplicating strategies exist.
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superreplication
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contingent claims
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Knightian uncertainty
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martingale measure
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nondominated model
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medial limits
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Hahn-Banach theorem
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