Robust estimation of superhedging prices
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Publication:2656605
DOI10.1214/20-AOS1966zbMath1459.91200arXiv1807.04211OpenAlexW3120966903MaRDI QIDQ2656605
Publication date: 11 March 2021
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1807.04211
robustnessconsistencyWasserstein metricstock returnsrisk measuresstatistical estimationempirical measurepricing-hedging dualitysuperhedging price
Asymptotic properties of nonparametric inference (62G20) Nonparametric robustness (62G35) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)
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Neural network approximation for superhedging prices ⋮ Risk measures under model uncertainty: a Bayesian viewpoint ⋮ Robust discrete-time super-hedging strategies under AIP condition and under price uncertainty ⋮ A dynamic version of the super-replication theorem under proportional transaction costs
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