Bernard, Carole; Junike, Gero; Lux, Thibaut; Vanduffel, … - In: Finance and Stochastics 28 (2024) 4, pp. 965-997
Dybvig ( 1988a , 1988b ) solves in a complete market setting the problem of finding a payoff that is cheapest possible in reaching a given target distribution (“cost-efficient payoff”). In the presence of ambiguity, the distribution of a payoff is, however, no longer known with certainty. We...
