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Super-replication prices with multiple-priors in discrete time

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  • Romain Blanchard
  • Laurence Carassus

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.

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  • Romain Blanchard & Laurence Carassus, 2022. "Super-replication prices with multiple-priors in discrete time," Papers 2202.06534, arXiv.org.
    • Handle: RePEc:arx:papers:2202.06534
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    References listed on IDEAS

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    1. Laurence Carassus & Jan Obloj & Johannes Wiesel, 2018. "The robust superreplication problem: a dynamic approach," Papers 1812.11201, arXiv.org, revised Feb 2019.
    2. Matteo Burzoni & Marco Maggis, 2019. "Arbitrage-free modeling under Knightian Uncertainty," Papers 1909.04602, arXiv.org, revised Apr 2020.
    3. Daniel Bartl, 2016. "Exponential utility maximization under model uncertainty for unbounded endowments," Papers 1610.00999, arXiv.org, revised Feb 2019.
    4. Charalambos D. Aliprantis & Kim C. Border, 2006. "Infinite Dimensional Analysis," Springer Books, Springer, edition 0, number 978-3-540-29587-7, March.
    5. Jan Obłój & Johannes Wiesel, 2021. "A unified framework for robust modelling of financial markets in discrete time," Finance and Stochastics, Springer, vol. 25(3), pages 427-468, July.
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