Pathwise superhedging on prediction sets
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Publication:2282966
DOI10.1007/s00780-019-00412-4zbMath1458.91210arXiv1711.02764OpenAlexW2990894967WikidataQ126745225 ScholiaQ126745225MaRDI QIDQ2282966
Daniel Bartl, Ariel Neufeld, Michael Kupper
Publication date: 27 December 2019
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1711.02764
Microeconomic theory (price theory and economic markets) (91B24) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (14)
Martingale optimal transport duality ⋮ Neural network approximation for superhedging prices ⋮ On intermediate marginals in martingale optimal transportation ⋮ Efficient hedging under ambiguity in continuous time ⋮ Model-Free Price Bounds Under Dynamic Option Trading ⋮ Duality for pathwise superhedging in continuous time ⋮ Stochastic integration and differential equations for typical paths ⋮ Arbitrage-free modeling under Knightian uncertainty ⋮ The Robust Superreplication Problem: A Dynamic Approach ⋮ Duality theory for robust utility maximisation ⋮ One-dimensional game-theoretic differential equations ⋮ Model Uncertainty: A Reverse Approach ⋮ Model-independent pricing with insider information: a skorokhod embedding approach ⋮ A dynamic version of the super-replication theorem under proportional transaction costs
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