Super-replication in Fully Incomplete Markets

2015/08/21 by Dolinsky, Yan, Neufeld, Ariel · 1 citation
#91G10 #91G20 #FOS: Economics and business #FOS: Mathematics #Mathematical Finance (q-fin.MF) #Optimization and Control (math.OC) #Probability (math.PR)

paper · doi:10.48550/arxiv.1508.05233

Abstract

In this work we introduce the notion of fully incomplete markets. We prove that for these markets the super-replication price coincide with the model free super-replication price. Namely, the knowledge of the model does not reduce the super-replication price. We provide two families of fully incomplete models: stochastic volatility models and rough volatility models. Moreover, we give several computational examples. Our approach is purely probabilistic.

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