Geodesic
Super-replication price: it can be ok
Laurence Carassus1 ; Tiziano Vargiolu2
1Léonard de Vinci Pôle Universitaire, Research Center, 92 916 Paris La Défense and LMR, Université de Reims-Champagne Ardenne. Email: laurence.carassus@devinci.fr
2Department of Mathematics Tullio Levi Civita, University of Padova. Email: vargiolu@math.unipd.it
ESAIM. Proceedings, Tome 64 (2018), pp. 54-64
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We consider a discrete time financial model where the support of the conditional law of the risky asset is bounded. For convex options we show that the super-replication problem reduces to the replication one in a Cox-Ross-Rubinstein model whose parameters are the law support boundaries. Thus the super-replication price can be of practical use if this support is not to large. We also make the link with the recent literature on multiple-priors models.
DOI : 10.1051/proc/201864054

Laurence Carassus  1   ; Tiziano Vargiolu  2

1 Léonard de Vinci Pôle Universitaire, Research Center, 92 916 Paris La Défense and LMR, Université de Reims-Champagne Ardenne. Email: laurence.carassus@devinci.fr
2 Department of Mathematics Tullio Levi Civita, University of Padova. Email: vargiolu@math.unipd.it 
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Laurence Carassus; Tiziano Vargiolu. Super-replication price: it can be ok. ESAIM. Proceedings, Tome 64 (2018), pp. 54-64. doi: 10.1051/proc/201864054

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