Super-replication prices with multiple-priors in discrete time
Romain Blanchard, Laurence Carassus
TL;DR
This paper characterizes the super-replication price in discrete-time financial markets with multiple priors, showing it as the supremum over single-prior prices via extreme priors and martingale measures.
Contribution
It provides a complete characterization of super-replication prices in markets with multiple priors, extending previous models to a quasi-sure framework.
Findings
Super-replication price equals the supremum over single-prior prices.
Identification of extreme priors and martingale measures for super-replication.
Extension of Bouchard and Nutz (2015) framework to multiple priors.
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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Taxonomy
TopicsFinancial Markets and Investment Strategies · Financial Risk and Volatility Modeling · Stochastic processes and financial applications