Superreplication under model uncertainty in discrete time (Q2255006): Difference between revisions

From MaRDI portal
RedirectionBot (talk | contribs)
RedirectionBot (talk | contribs)
Changed an Item
Property / reviewed by
 
Property / reviewed by: Guy Jumaric / rank
 
Normal rank

Revision as of 17:25, 22 February 2024

scientific article
Language Label Description Also known as
English
Superreplication under model uncertainty in discrete time
scientific article

    Statements

    Superreplication under model uncertainty in discrete time (English)
    0 references
    0 references
    6 February 2015
    0 references
    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.
    0 references
    superreplication
    0 references
    contingent claims
    0 references
    Knightian uncertainty
    0 references
    martingale measure
    0 references
    nondominated model
    0 references
    medial limits
    0 references
    Hahn-Banach theorem
    0 references
    0 references

    Identifiers