Robust superhedging with jumps and diffusion
type: Item
instance of: scholarly article
title: Robust superhedging with jumps and diffusion
zbMATH Open document ID: 1326.60120
author: Marcel Nutz
published in: Stochastic Processes and their Applications
publication date: 2015-10-12T00:00:00Z
full work available at URL: https://arxiv.org/abs/1407.1674
Mathematics Subject Classification ID: 60J75
Mathematics Subject Classification ID: 60J60
Mathematics Subject Classification ID: 60G51
Mathematics Subject Classification ID: 60G44
Mathematics Subject Classification ID: 91B25
Mathematics Subject Classification ID: 91G80
Mathematics Subject Classification ID: 93E20
zbMATH DE Number: 6493303
zbMATH Keywords: jump processes
zbMATH Keywords: diffusion
zbMATH Keywords: robust superhedging
zbMATH Keywords: superreplication
zbMATH Keywords: optional decomposition
zbMATH Keywords: nonlinear Lévy processes
zbMATH Keywords: nondominated model
MaRDI profile type: Publication
OpenAlex ID: W2963189739
arXiv ID: 1407.1674
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DOI: 10.1016/J.SPA.2015.07.008
description: scientific article