Superhedging under Model Uncertainty
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Fri, 17/05 16:00 |
Michael Kupper (Institut fut Mathematik (Humboldt)) |
Nomura Seminar  |
DH 1st floor SR |
| We discuss the superhedging problem under model uncertainty based on existence and duality results for minimal supersolutions of backward stochastic differential equations. The talk is based on joint works with Samuel Drapeau, Gregor Heyne and Reinhard Schmidt. | |||