Robust discrete-time super-hedging strategies under AIP condition and under price uncertainty
Abstract
We solve the problem of super-hedging European or Asian options for discrete-time financial market models where executable prices are uncertain. The risky asset prices are not described by single-valued processes but measurable selections of random sets that allows to consider a large variety of models including bid-ask models with order books, but also models with a delay in the execution of the orders. We provide a numerical procedure to compute the infimum price under a weak no-arbitrage condition, the so-called AIP condition, under which the prices of the non negative European options are non negative. This condition is weaker than the existence of a risk-neutral martingale measure but it is sufficient to numerically solve the super-hedging problem. We illustrate our method by a numerical example.
Keywords
Cite
@article{arxiv.2311.08847,
title = {Robust discrete-time super-hedging strategies under AIP condition and under price uncertainty},
author = {Meriam El Mansour and Emmanuel Lepinette},
journal= {arXiv preprint arXiv:2311.08847},
year = {2023}
}