Robust superhedging with jumps and diffusion

DOI10.1016/J.SPA.2015.07.008zbMath1326.60120arXiv1407.1674OpenAlexW2963189739MaRDI QIDQ744974

Marcel Nutz

Publication date: 12 October 2015

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1407.1674

zbMATH Keywords

diffusionsuperreplicationjump processesoptional decompositionrobust superhedgingnondominated modelnonlinear Lévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Optimal stochastic control (93E20) Martingales with continuous parameter (60G44) Diffusion processes (60J60) Financial applications of other theories (91G80)

Related Items (20)

Fine properties of the optimal Skorokhod embedding problem ⋮ Canonical supermartingale couplings ⋮ Numerical scheme for Dynkin games under model uncertainty ⋮ Reduced-form setting under model uncertainty with non-linear affine intensities ⋮ Robust utility maximization with nonlinear continuous semimartingales ⋮ Neural network approximation for superhedging prices ⋮ A model‐free approach to continuous‐time finance ⋮ Wellposedness of second order reflected BSDEs: A new formulation ⋮ Second order backward SDE with random terminal time ⋮ A risk-neutral equilibrium leading to uncertain volatility pricing ⋮ European Options in a Nonlinear Incomplete Market Model with Default ⋮ Tightness and duality of martingale transport on the Skorokhod space ⋮ Stochastic control for a class of nonlinear kernels and applications ⋮ Duality for pathwise superhedging in continuous time ⋮ Financial asset price bubbles under model uncertainty ⋮ Duality theory for robust utility maximisation ⋮ A quasi-sure optional decomposition and super-hedging result on the Skorokhod space ⋮ Reduced-form framework under model uncertainty ⋮ Uncertain Volatility Models with Stochastic Bounds ⋮ A dynamic version of the super-replication theorem under proportional transaction costs

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