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ArticleSuperreplication under model uncertainty in discrete time

Marcel Nutz2014

Article2014

Superreplication under model uncertainty in discrete time

39 citations·0/0 files stored·Finance and Stochastics

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Stochastic processes and financial applications Economic theories and models Risk and Portfolio Optimization

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References

1989Maxmin expected utility with non-unique prior 2002Stochastic Finance: An Introduction in Discrete Time 2004Stochastic Finance 2007G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type 2019Nonlinear Expectations and Stochastic Calculus under Uncertainty 2010Function Spaces and Capacity Related to a Sublinear Expectation: Application to G-Brownian Motion Paths 2016MODEL-INDEPENDENT BOUNDS FOR OPTION PRICES: A MASS TRANSPORT APPROACH 2006A theoretical framework for the pricing of contingent claims in the presence of model uncertainty

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2018Robust expected utility maximization with medial limits 2015Consistent price systems under model uncertainty 2014Hedging of game options under model uncertainty in discrete time 2021Fine properties of the optimal Skorokhod embedding problem

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Year2014

Typearticle

Published2014-07-09

VenueFinance and Stochastics

ISSN-L0949-2984

Languageen

Citations39

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s00780-014-0238-7

openalex_workW2139937772

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