Super-replication prices with multiple-priors in discrete time

Romain Blanchard and Laurence Carassus

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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.

Date: 2022-02
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