On the super replication price of unbounded claims

• 成果类型: Article
• 署名作者: Biagini, S; Frittelli, M
• 署名单位: University of Perugia; University of Florence
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• DOI: 10.1214/105051604000000459
• 发表日期: 2004
• 页码: 1970-1991
• 关键词: CONTINGENT CLAIMS; fundamental theorem

摘要

In an incomplete market the price of a claim f in general cannot be uniquely identified by no arbitrage arguments. However, the classical super replication price is a sensible indicator of the (maximum selling) value of the claim. When f satisfies certain pointwise conditions (e.g., f is bounded from below), the super replication price is equal to sup(Q) E-Q[f], where Q varies on the whole set of pricing measures. Unfortunately, this price is often too high: a typical situation is here discussed in the examples. We thus define the less expensive weak super replication price and we relax the requirements on f by asking just for enough integrability conditions. By building up a proper duality theory, we show its economic meaning and its relation with the investor's preferences. Indeed, it turns out that the weak super replication price of f coincides with sup(Qis an element ofMphi) E-Q[f], where M-phi, is the class of pricing measures with finite generalized entropy (i.e., E[phi(dQ/dP)] < infinity) and where phi is the convex conjugate of the utility function of the investor.