2023/11/15 by Meriam El Mansour, Mansour, Meriam El, Emmanuel Lépinette +1
Economics, Econometrics and Finance · #Stochastic processes and financial applications #Capital Investment and Risk Analysis #Monetary Policy and Economic Impact
paper · pdf · doi:10.48550/arxiv.2311.08847
We solve the problem of super-hedging European or Asian options for\ndiscrete-time financial market models where executable prices are uncertain.\nThe risky asset prices are not described by single-valued processes but\nmeasurable selections of random sets that allows to consider a large variety of\nmodels including bid-ask models with order books, but also models with a delay\nin the execution of the orders. We provide a numerical procedure to compute the\ninfimum price under a weak no-arbitrage condition, the so-called AIP condition,\nunder which the prices of the non negative European options are non negative.\nThis condition is weaker than the existence of a risk-neutral martingale\nmeasure but it is sufficient to numerically solve the super-hedging problem. We\nillustrate our method by a numerical example.\n