Erratum: The Robust Superreplication Problem: A Dynamic Approach

DOI10.1137/21M1447040zbMath1497.91305OpenAlexW4283657870MaRDI QIDQ5092724

Jan Obłój, Johannes Wiesel, Laurence Carassus

Publication date: 22 July 2022

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/21m1447040

zbMATH Keywords

concave envelopedynamic programming principlerobust pricing and hedgingsuperhedgingdynamic robust approach

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Probability measures on topological spaces (60B05) Derivative securities (option pricing, hedging, etc.) (91G20) Financial markets (91G15)

Cites Work

• Guaranteed deterministic approach to superhedging: Lipschitz properties of solutions of the Bellman-Isaacs equations
• A guaranteed deterministic approach to superhedging: financial market model, trading constraints, and the Bellman-Isaacs equations
• A guaranteed deterministic approach to superhedging: no arbitrage properties of the market
• The Robust Superreplication Problem: A Dynamic Approach

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