Short communication: Super-replication prices with multiple priors in discrete time

DOI10.1137/22M1470013MaRDI QIDQ5080126zbMATH OpenFDO

Authors Romain Blanchard, Laurence Carassus

Publication date 31 May 2022

Published in SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/22M1470013

zbMATH Keywords

multiple priorsnondominated modelsuper-replication prices

Mathematics Subject Classification ID

Portfolio theory (91G10) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• A unified framework for robust modelling of financial markets in discrete time
• Arbitrage and duality in nondominated discrete-time models
• Arbitrage-free modeling under Knightian uncertainty
• Exponential utility maximization under model uncertainty for unbounded endowments
• Infinite dimensional analysis. A hitchhiker's guide.
• Measurable Selections and the Uniformization of Souslin Sets
• No-arbitrage with multiple-priors in discrete time
• On arbitrage and duality under model uncertainty and portfolio constraints
• Stochastic optimal control. The discrete time case
• Super-replication in fully incomplete markets
• The robust superreplication problem: a dynamic approach
• Variational Analysis

Cited in

(7)

• Superreplication under model uncertainty in discrete time
• Continuous-time duality for superreplication with transient price impact
• scientific article; zbMATH DE number 2127972 (Why is no real title available?)
• The robust superreplication problem: a dynamic approach
• On Utility-Based Superreplication Prices of Contingent Claims with Unbounded Payoffs
• Quasi-sure essential supremum and applications to finance
• Convergence of utility indifference prices to the superreplication price: the whole real line case

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