Superreplication under Model Uncertainty in Discrete Time
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.
Year of publication: |
2013-01
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Authors: | Nutz, Marcel |
Institutions: | arXiv.org |
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