Super-replication in Fully Incomplete Markets

Yan Dolinsky and Ariel Neufeld

Papers from arXiv.org

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.

Date: 2015-08, Revised 2016-09
New Economics Papers: this item is included in nep-ger and nep-ore
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1508.05233

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