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Reports (Research Report) Year : 2000

Cheapest Superstrategies without the Optional Decomposition


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.


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


  • HAL Id : inria-00072721 , version 1


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