Superreplication under model uncertainty in discrete time

Marcel Nutz ()

Finance and Stochastics, 2014, vol. 18, issue 4, 803 pages

Abstract: We study the superreplication of contingent claims under model uncertainty in discrete time. We show that optimal superreplicating strategies exist in a general measure-theoretic setting; moreover, we characterize the minimal superreplication price as the supremum over all continuous linear pricing functionals on a suitable Banach space. The main ingredient is a closedness result for the set of claims which can be superreplicated from zero capital; its proof relies on medial limits. Copyright Springer-Verlag Berlin Heidelberg 2014

Keywords: Knightian uncertainty; Nondominated model; Superreplication; Martingale measure; Medial limit; Hahn–Banach theorem; 60G42; 91B25; 93E20; D81; G12 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (23)

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DOI: 10.1007/s00780-014-0238-7

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