Erratum: The Robust Superreplication Problem: A Dynamic Approach

Laurence Carassus,Jan Obloj,Johannes Wiesel

SIAM JOURNAL ON FINANCIAL MATHEMATICS（2022）

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摘要

The assertions of Proposition 3.7 in our paper ``The robust superreplication problem: A dynamic approach"" [L. Carassus, J. Ob\lo'\j, and J. Wiesel, SIAM J. Financial Math., 10 (2019), pp. 907--941] may fail to hold without an additional assumption, which we detail in this erratum.

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关键词

robust pricing and hedging, superhedging, dynamic programming principle, concave envelope, dynamic robust approach

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