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We show that the recent results on the Fundamental Theorem of Asset Pricing and the super-hedging theorem in the context of model uncertainty can be extended to the case in which the options available for static hedging (hedging options) are quoted with bid-ask spreads. In this set-up, we need...
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<Para ID="Par1">We study the superreplication of contingent claims under model uncertainty in discrete time. We show … minimal superreplication price as the supremum over all continuous linear pricing functionals on a suitable Banach space. The …
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