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- W2263636323 abstract "In this work we introduce the notion of extremely incomplete markets. We prove that for these markets the super-replication price coincide 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 extremely incomplete models: stochastic volatility models and rough volatility models. Moreover, we give several computational examples. Our approach is purely probabilistic." @default.
- W2263636323 created "2016-06-24" @default.
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- W2263636323 date "2015-08-21" @default.
- W2263636323 modified "2023-09-27" @default.
- W2263636323 title "Super-replication in Extremely Incomplete Markets" @default.
- W2263636323 hasPublicationYear "2015" @default.
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