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Article Dans Une Revue MathematicS In Action Année : 2022

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

Résumé

We solve the problem of super-hedging European or Asian options for discrete-time financial market models where executed prices are uncertain. The risky asset prices are not described by single-valued processes but measurable selections of random sets that allows to consider a large variety of models including bid-ask models with order books, but also models with a delay in the execution of the orders. We provide a dynamic programming principle under a weak no-arbitrage condition, the so-called AIP condition, under which the prices of the non negative European options are non negative. This condition is weaker than the existence of a risk-neutral martingale measure but it is sufficient to numerically solve completely the super-hedging problem. We illustrate our method by a numerical example.
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Dates et versions

hal-03161157 , version 1 (05-03-2021)

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Meriam El Mansour, Emmanuel Lépinette. Robust discrete-time super-hedging strategies under AIP condition and under price uncertainty. MathematicS In Action, 2022, 11 (1), pp.193-212. ⟨10.5802/msia.24⟩. ⟨hal-03161157⟩
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