Super-replication prices with multiple-priors in discrete time
Mathematical Finance
2022-02-15 v1
Abstract
In the frictionless discrete time financial market of Bouchard and Nutz (2015), we propose a full characterization of the quasi-sure super-replication price: as the supremum of the mono-prior super-replication prices, through an extreme prior and through martingale measures.
Keywords
Cite
@article{arxiv.2202.06534,
title = {Super-replication prices with multiple-priors in discrete time},
author = {Romain Blanchard and Laurence Carassus},
journal= {arXiv preprint arXiv:2202.06534},
year = {2022}
}