Robust Framework for Quantifying the Value of Information in Pricing and Hedging
From MaRDI portal
Publication:5112530
DOI10.1137/18M1177597zbMath1437.91424arXiv1605.02539OpenAlexW3125485469MaRDI QIDQ5112530
Zhaoxu Hou, Anna Aksamit, Jan Obłój
Publication date: 29 May 2020
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1605.02539
path restrictionsfiltration enlargementdynamic programming principlepricing-hedging dualityasymmetry of informationinformed investormodeling with beliefsrobustness superhedging
Related Items (8)
A dynamic programming approach to distribution-constrained optimal stopping ⋮ Robust deep hedging ⋮ Model-Independent Bounds for Asian Options: A Dynamic Programming Approach ⋮ Reduced-form framework for multiple ordered default times under model uncertainty ⋮ On intermediate marginals in martingale optimal transportation ⋮ Duality for pathwise superhedging in continuous time ⋮ Reduced-form framework under model uncertainty ⋮ Model-independent pricing with insider information: a skorokhod embedding approach
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Optimum consumption and portfolio rules in a continuous-time model
- Universal arbitrage aggregator in discrete-time markets under uncertainty
- Model-independent bounds for option prices -- a mass transport approach
- Information and \(\sigma\)-algebras
- Martingale optimal transport and robust hedging in continuous time
- Robust pricing and hedging of double no-touch options
- Martingale optimal transport in the Skorokhod space
- Random times and enlargements of filtrations in a Brownian setting.
- Utility maximization under a shortfall risk constraint
- A theoretical framework for the pricing of contingent claims in the presence of model uncertainty
- Maxmin expected utility with non-unique prior
- Semi-martingales et grossissement d'une filtration
- Robust hedging of the lookback option
- A monetary value for initial information in portfolio optimization
- Financial options and statistical prediction intervals
- Information is not about measurability.
- Robust pricing-hedging dualities in continuous time
- Semi-static completeness and robust pricing by informed investors
- Root's barrier: construction, optimality and applications to variance options
- Reduced-form framework under model uncertainty
- Arbitrage and duality in nondominated discrete-time models
- Optimal transport and Skorokhod embedding
- Pathwise superreplication via Vovk's outer measure
- Constructing sublinear expectations on path space
- Robust utility maximization with limited downside risk in incomplete markets
- Robust Hedging of Barrier Options
- A MODEL-FREE VERSION OF THE FUNDAMENTAL THEOREM OF ASSET PRICING AND THE SUPER-REPLICATION THEOREM
- Robust Hedging of Double Touch Barrier Options
- The Logarithmic Investor's Decision to Acquire Costly Information
- [https://portal.mardi4nfdi.de/wiki/Publication:4115871 �tude des solutions extr�males et repr�sentation int�grale des solutions pour certains probl�mes de martingales]
- Pricing and hedging derivative securities in markets with uncertain volatilities
- Uncertain volatility and the risk-free synthesis of derivatives
- Model-independent pricing with insider information: a skorokhod embedding approach
- The Robust Superreplication Problem: A Dynamic Approach
- The robust pricing–hedging duality for American options in discrete time financial markets
- ROBUST FUNDAMENTAL THEOREM FOR CONTINUOUS PROCESSES
- PERFORMANCE OF ROBUST HEDGES FOR DIGITAL DOUBLE BARRIER OPTIONS
- On Cash Equivalents and Information Evaluation in Decisions Under Uncertainty: Part I: Basic Theory
This page was built for publication: Robust Framework for Quantifying the Value of Information in Pricing and Hedging
