Super-replication in Fully Incomplete Markets
Mathematical Finance
2016-09-13 v4 Optimization and Control
Probability
Abstract
In this work we introduce the notion of fully incomplete markets. We prove that for these markets the super-replication price coincide with the model free super-replication price. Namely, the knowledge of the model does not reduce the super-replication price. We provide two families of fully incomplete models: stochastic volatility models and rough volatility models. Moreover, we give several computational examples. Our approach is purely probabilistic.
Keywords
Cite
@article{arxiv.1508.05233,
title = {Super-replication in Fully Incomplete Markets},
author = {Yan Dolinsky and Ariel Neufeld},
journal= {arXiv preprint arXiv:1508.05233},
year = {2016}
}
Comments
Former titles: Super-replication in Extremely Incomplete Markets; Super-replication of Game Options in Stochastic Volatility Models