Superreplication under Model Uncertainty in Discrete Time

Marcel Nutz

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arXiv · 1301.3227

Superreplication under Model Uncertainty in Discrete Time

Marcel Nutz

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Abstract

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.

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Marcel Nutz. 2014-02-14. Superreplication under Model Uncertainty in Discrete Time. https://arxiv.org/abs/1301.3227

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