Duality Formulas for Robust Pricing and Hedging in Discrete Time

DOI10.1137/16M1064088zbMath1407.91243arXiv1602.06177OpenAlexW2282761846MaRDI QIDQ4607049

Michael Kupper, Ludovic Tangpi, Patrick Cheridito

Publication date: 12 March 2018

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1602.06177

zbMATH Keywords

transaction costsrisk measurestrading constraintssuperhedgingsubhedgingrobust fundamental theorem of asset pricingrobust price bounds

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Generalizations of martingales (60G48) Derivative securities (option pricing, hedging, etc.) (91G20) Duality theory (optimization) (49N15)

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