Pathwise superreplication via Vovk's outer measure

DOI10.1007/s00780-017-0338-2zbMath1391.91153arXiv1504.03644OpenAlexW781558514WikidataQ59523442 ScholiaQ59523442MaRDI QIDQ2412395

Martin Huesmann, Mathias Beiglböck, David J. Prömel, Nicolas Perkowski, Alexander Matthew Gordon Cox

Publication date: 23 October 2017

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1504.03644

zbMATH Keywords

optimal transportSkorokhod embeddingmodel-independent pricingpricing-hedging dualityVovk's outer measuresuperreplication theorem

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (20)

Canonical supermartingale couplings ⋮ A superhedging approach to stochastic integration ⋮ Robust pricing-hedging dualities in continuous time ⋮ The geometry of multi-marginal Skorokhod embedding ⋮ Martingale optimal transport duality ⋮ Model-Independent Bounds for Asian Options: A Dynamic Programming Approach ⋮ Numerical Method for Model-free Pricing of Exotic Derivatives in Discrete Time Using Rough Path Signatures ⋮ Robust Framework for Quantifying the Value of Information in Pricing and Hedging ⋮ Optimal Execution with Rough Path Signatures ⋮ Duality for pathwise superhedging in continuous time ⋮ Discretisation and duality of optimal Skorokhod embedding problems ⋮ Stochastic integration and differential equations for typical paths ⋮ Pathwise superhedging on prediction sets ⋮ Pathwise no-arbitrage in a class of delta hedging strategies ⋮ The Robust Superreplication Problem: A Dynamic Approach ⋮ Multiperiod martingale transport ⋮ On the Monotonicity Principle of Optimal Skorokhod Embedding Problem ⋮ One-dimensional game-theoretic differential equations ⋮ Non-parametric Pricing and Hedging of Exotic Derivatives ⋮ Model-independent pricing with insider information: a skorokhod embedding approach

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