Superreplication under model uncertainty in discrete time

DOI10.1007/s00780-014-0238-7zbMath1312.60049arXiv1301.3227OpenAlexW2139937772MaRDI QIDQ2255006

Marcel Nutz

Publication date: 6 February 2015

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1301.3227

zbMATH Keywords

Hahn-Banach theoremsuperreplicationmartingale measurecontingent claimsKnightian uncertaintynondominated modelmedial limits

Mathematics Subject Classification ID

Related Items (17)

Fine properties of the optimal Skorokhod embedding problem ⋮ Canonical supermartingale couplings ⋮ Fatou closedness under model uncertainty ⋮ Robust expected utility maximization with medial limits ⋮ Unnamed Item ⋮ Model uncertainty, recalibration, and the emergence of delta-vega hedging ⋮ Reduced-form setting under model uncertainty with non-linear affine intensities ⋮ Robust utility maximization with nonlinear continuous semimartingales ⋮ Super‐replication with transaction costs under model uncertainty for continuous processes ⋮ A risk-neutral equilibrium leading to uncertain volatility pricing ⋮ Hedging with small uncertainty aversion ⋮ Duality theory for robust utility maximisation ⋮ Arbitrage and duality in nondominated discrete-time models ⋮ Model Uncertainty: A Reverse Approach ⋮ Model-independent pricing with insider information: a skorokhod embedding approach ⋮ Separability Versus Robustness of Orlicz Spaces: Financial and Economic Perspectives ⋮ Consistent price systems under model uncertainty

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The maximum maximum of a martingale with given \(n\) marginals
• Model-independent bounds for option prices -- a mass transport approach
• Superreplication under volatility uncertainty for measurable claims
• Pathwise construction of stochastic integrals
• Martingale optimal transport and robust hedging in continuous time
• Some properties on \(G\)-evaluation and its applications to \(G\)-martingale decomposition
• Martingale representation theorem for the \(G\)-expectation
• Optimal arbitrage under model uncertainty
• Weak approximation of \(G\)-expectations
• A theoretical framework for the pricing of contingent claims in the presence of model uncertainty
• Maxmin expected utility with non-unique prior
• Robust hedging of the lookback option
• Local martingales and the fundamental asset pricing theorems in the discrete-time case
• Dual formulation of second order target problems
• Arbitrage and duality in nondominated discrete-time models
• A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options
• Stochastic target games with controlled loss
• The mathematics of arbitrage
• Martingale inequalities and deterministic counterparts
• A MODEL-FREE VERSION OF THE FUNDAMENTAL THEOREM OF ASSET PRICING AND THE SUPER-REPLICATION THEOREM
• The Skorokhod Embedding Problem and Model-Independent Bounds for Option Prices
• Superhedging and Dynamic Risk Measures under Volatility Uncertainty
• THE FILTER DICHOTOMY AND MEDIAL LIMITS
• Stochastic finance. An introduction in discrete time

This page was built for publication: Superreplication under model uncertainty in discrete time