Robust pricing and hedging around the globe

DOI10.1214/19-AAP1482zbMath1435.60031arXiv1707.08545MaRDI QIDQ2299582

Florian Stebegg, Sebastian Herrmann

Publication date: 21 February 2020

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1707.08545

zbMATH Keywords

dualitymartingale optimal transportrobust superhedgingsemistatic strategies

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20) Linear optimal control problems (49N05)

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Cites Work

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