The Robust Superreplication Problem: A Dynamic Approach

DOI10.1137/18M1235934zbMath1435.91182arXiv1812.11201OpenAlexW2988511065MaRDI QIDQ5215985

Johannes Wiesel, Jan Obłój, Laurence Carassus

Publication date: 14 February 2020

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

Full work available at URL: https://arxiv.org/abs/1812.11201

zbMATH Keywords

expected utilityrobust pricingsuperhedging

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)

Related Items

Short Communication: Super-Replication Prices with Multiple Priors in Discrete Time ⋮ Erratum: The Robust Superreplication Problem: A Dynamic Approach ⋮ Robust utility maximization with nonlinear continuous semimartingales ⋮ Convergence of utility indifference prices to the superreplication price in a multiple‐priors framework ⋮ Distributionally robust portfolio maximization and marginal utility pricing in one period financial markets ⋮ Neural network approximation for superhedging prices ⋮ Robust Framework for Quantifying the Value of Information in Pricing and Hedging ⋮ Super-replication price: it can be ok ⋮ A unified framework for robust modelling of financial markets in discrete time ⋮ Robust discrete-time super-hedging strategies under AIP condition and under price uncertainty

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