Pathwise superhedging for time-dependent barrier options on càdlàg paths -- finite or infinite tradeable European, one-touch, lookback or forward starting options

DOI10.1016/j.spa.2018.03.019zbMath1419.91614OpenAlexW2797017955MaRDI QIDQ1730931

Martin Forde

Publication date: 6 March 2019

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2018.03.019

zbMATH Keywords

convex dualityrobust hedgingSkorokhod embeddingsbarrier optionsattainable laws for a martingaleforward-starting options

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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