Robust discrete-time super-hedging strategies under AIP condition and under price uncertainty

DOI10.5802/msia.24zbMath1504.91309OpenAlexW4287281722MaRDI QIDQ2094856

Meriam El Mansour, Emmanuel Lépinette

Publication date: 8 November 2022

Published in: MathematicS In Action (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.5802/msia.24

zbMATH Keywords

uncertaintydelayed informationAIP conditionconditional random setssuper-hedging prices

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Dynamic programming principle and computable prices in financial market models with transaction costs

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