Short Communication: Super-Replication Prices with Multiple Priors in Discrete Time

DOI10.1137/22M1470013zbMath1491.91138MaRDI QIDQ5080126

Romain Blanchard, Laurence Carassus

Publication date: 31 May 2022

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

zbMATH Keywords

multiple priorsnondominated modelsuper-replication prices

Mathematics Subject Classification ID

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

Cites Work

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• Variational Analysis
• Super‐replication in fully incomplete markets
• The Robust Superreplication Problem: A Dynamic Approach
• ON ARBITRAGE AND DUALITY UNDER MODEL UNCERTAINTY AND PORTFOLIO CONSTRAINTS

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