Super-replication in fully incomplete markets

Yan Dolinsky, Ariel Neufeld

Research output: Contribution to journalArticlepeer-review

Abstract

In this work, we introduce the notion of fully incomplete markets. We prove that for these markets, the super-replication price coincides 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.

Original languageAmerican English
Pages (from-to)483-515
Number of pages33
JournalMathematical Finance
Volume28
Issue number2
DOIs
StatePublished - Apr 2018

Keywords

  • martingale measures
  • stochastic volatility
  • super-replication

All Science Journal Classification (ASJC) codes

  • Accounting
  • Finance
  • Social Sciences (miscellaneous)
  • Economics and Econometrics
  • Applied Mathematics

Fingerprint

Dive into the research topics of 'Super-replication in fully incomplete markets'. Together they form a unique fingerprint.

Cite this