Super-replication price: it can be ok

DOI10.1051/PROC/201864054MaRDI QIDQ4615501zbMATH OpenOpenAlexFDO

Authors Laurence Carassus, Tiziano Vargiolu

Publication date 29 January 2019

Published in ESAIM: Proceedings and Surveys (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1051/proc/201864054

zbMATH Keywords

European contingent claimCox-Ross-Rubinstein modeldiscrete-time financial modelsuper-replication problem

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• scientific article; zbMATH DE number 4060392 (Why is no real title available?)
• Ambiguous volatility, possibility and utility in continuous time
• Arbitrage and duality in nondominated discrete-time models
• Borel sets of probability measures
• DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS¹
• Equivalent martingale measures and no-arbitrage in stochastic securities market models
• Explicit solutions for shortfall risk minimization in multinomial models.
• Exponential utility maximization under model uncertainty for unbounded endowments
• Infinite dimensional analysis. A hitchhiker's guide.
• Martingale inequalities and deterministic counterparts
• Option pricing: A simplified approach
• Optional decompositions under constraints
• Pricing and hedging derivative securities in markets with uncertain volatilities
• Stochastic optimal control. The discrete time case
• The robust superreplication problem: a dynamic approach

Cited in

(16)

• Realistic models of financial market and structural stability
• Comparison of two methods for superreplication
• Superreplication of Options on Several Underlying Assets
• A guaranteed deterministic approach to superhedging: financial market model, trading constraints and Bellman-Isaacs equations
• Convergence of utility indifference prices to the superreplication price in a multiple‐priors framework
• The robust superreplication problem: a dynamic approach
• scientific article; zbMATH DE number 1897412 (Why is no real title available?)
• Superreplication under model uncertainty in discrete time
• Short communication: Super-replication prices with multiple priors in discrete time
• Guaranteed deterministic approach to superhedging: case of binary European option
• Pricing without no-arbitrage condition in discrete time
• Super-replication in fully incomplete markets
• Super-replication of life-contingent options under the Black-Scholes framework
• Scaling limits for super-replication with transient price impact
• A Note on Transition Kernels for the Most Unfavourable Mixed Strategies of the Market
• On the super replication price of unbounded claims

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