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

Cox-Ross-Rubinstein modeldiscrete-time financial modelEuropean contingent claimsuper-replication problem

Mathematics Subject Classification ID

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

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Cites work

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• Borel sets of probability measures
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• Explicit solutions for shortfall risk minimization in multinomial models.
• Exponential utility maximization under model uncertainty for unbounded endowments
• scientific article; zbMATH DE number 4060392 (Why is no real title available?)
• 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

(18)

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

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