Cheapest Superstrategies without the Optional Decomposition - Inria - Institut national de recherche en sciences et technologies du numérique Access content directly
Reports (Research Report) Year : 2000

Cheapest Superstrategies without the Optional Decomposition

Abstract

We follow very closely Föllmer and Kabanov Lagrange multiplier approach to superstrategies in perfect incomplete markets, except that we provide a very simple proof of the existence of a minimizing multiplier in case of a European option under the assumption that the discounted process of the underlying is an $L^2\left( P\right) $ martingale for some probability $P.$ Even if it gives the existence of a superstrategy associated to the supremum of the expectations under the equivalent martingale measures, our result is much weaker than the optional decomposition theorem.

Domains

Other [cs.OH]
Fichier principal
Vignette du fichier
RR-3931.pdf (259.75 Ko) Télécharger le fichier

Dates and versions

inria-00072721 , version 1 (24-05-2006)

Identifiers

  • HAL Id : inria-00072721 , version 1

Cite

Claude Martini. Cheapest Superstrategies without the Optional Decomposition. [Research Report] RR-3931, INRIA. 2000. ⟨inria-00072721⟩
49 View
50 Download

Share

Gmail Facebook X LinkedIn More