Duality for pathwise superhedging in continuous time
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Publication:1999600
DOI10.1007/s00780-019-00395-2zbMath1429.91314arXiv1705.02933OpenAlexW2963435505WikidataQ127812111 ScholiaQ127812111MaRDI QIDQ1999600
Daniel Bartl, Michael Kupper, David J. Prömel, Ludovic Tangpi
Publication date: 27 June 2019
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1705.02933
semi-static hedgingpricing-hedging dualitymartingale measuresVovk's outer measure\(\sigma \)-compactnesspathwise superhedging
Microeconomic theory (price theory and economic markets) (91B24) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items
Martingale optimal transport duality, Super‐replication with transaction costs under model uncertainty for continuous processes, Neural network approximation for superhedging prices, A model‐free approach to continuous‐time finance, Entropy martingale optimal transport and nonlinear pricing-hedging duality, Efficient hedging under ambiguity in continuous time, Model-Free Price Bounds Under Dynamic Option Trading, Stochastic integration and differential equations for typical paths, Arbitrage-free modeling under Knightian uncertainty, Pathwise superhedging on prediction sets, Duality theory for robust utility maximisation, One-dimensional game-theoretic differential equations, A dynamic version of the super-replication theorem under proportional transaction costs
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