On the robust superhedging of measurable claims

DOI10.1214/ECP.V18-2739zbMath1297.93188arXiv1302.1850MaRDI QIDQ743072

Dylan Possamaï, Guillaume Royer, Nizar Touzi

Publication date: 22 September 2014

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1302.1850

zbMATH Keywords

robust hedgingquasi-sure stochastic analysis

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (19)

McKean-Vlasov optimal control: the dynamic programming principle ⋮ Robust pricing-hedging dualities in continuous time ⋮ Model uncertainty, recalibration, and the emergence of delta-vega hedging ⋮ Pathwise superreplication via Vovk's outer measure ⋮ Measurability of semimartingale characteristics with respect to the probability law ⋮ Optimal stopping with expectation constraints ⋮ A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options ⋮ Hedging with small uncertainty aversion ⋮ Stochastic control for a class of nonlinear kernels and applications ⋮ Quantile hedging in a semi-static market with model uncertainty ⋮ Duality for pathwise superhedging in continuous time ⋮ Asymptotic optimality of the generalized \(c\mu\) rule under model uncertainty ⋮ Pathwise superhedging on prediction sets ⋮ Stochastic control/stopping problem with expectation constraints ⋮ Robust superhedging with jumps and diffusion ⋮ A quasi-sure optional decomposition and super-hedging result on the Skorokhod space ⋮ Reduced-form framework under model uncertainty ⋮ Arbitrage and duality in nondominated discrete-time models ⋮ The maximum maximum of a martingale with given \(n\) marginals

This page was built for publication: On the robust superhedging of measurable claims