Superreplication under Model Uncertainty in Discrete Time

Marcel Nutz

Papers from arXiv.org

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.

Date: 2013-01, Revised 2014-02
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Citations: View citations in EconPapers (24)

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1301.3227

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