2022/02/14 by Romain Blanchard, Blanchard, Romain, Laurence Carassus +1
Economics, Econometrics and Finance · #28B20 #91B30 #91G20 #FOS: Economics and business #Financial Markets and Investment Strategies #Financial Risk and Volatility Modeling #Mathematical Finance (q-fin.MF) #Primary 91B70 #Secondary 91G10 #Stochastic processes and financial applications
paper · pdf · doi:10.48550/arxiv.2202.06534
openalex publication_date 2022/02/14 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
In the frictionless discrete time financial market of Bouchard and Nutz (2015), we propose a full characterization of the quasi-sure super-replication price: as the supremum of the mono-prior super-replication prices, through an extreme prior and through martingale measures.