Super‐replication in fully incomplete markets

DOI10.1111/mafi.12149zbMath1390.91298arXiv1508.05233OpenAlexW2963744639WikidataQ86255147 ScholiaQ86255147MaRDI QIDQ4642729

Ariel Neufeld, Yan Dolinsky

Publication date: 25 May 2018

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1508.05233

zbMATH Keywords

stochastic volatilitysuper-replicationmartingale measures

Mathematics Subject Classification ID

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

Related Items (8)

Canonical supermartingale couplings ⋮ Short Communication: Super-Replication Prices with Multiple Priors in Discrete Time ⋮ Convergence of optimal expected utility for a sequence of binomial models ⋮ BUY-AND-HOLD PROPERTY FOR FULLY INCOMPLETE MARKETS WHEN SUPER-REPLICATING MARKOVIAN CLAIMS ⋮ Model-Free Price Bounds Under Dynamic Option Trading ⋮ Stochastic integration and differential equations for typical paths ⋮ Continuity of utility maximization under weak convergence ⋮ Pathwise superhedging on prediction sets

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