Pathwise superhedging on prediction sets (Q2282966)

Objective: The authors objective in this paper is to provide a pricing-hedging duality for the model-independent super-hedging price with respect to a prediction set $E\subseteq C[0,T]$ by finding a predictable trading strategy which super-replicates a given contingent claim $\xi:C[0,T]\to R$ simultaneously for all possible future price paths in $E$. For the set $E$ described above, the authors note that the super-hedging property needs to hold pathwise, but only for paths lying in $E$. Methodology: To achieve their objective, the authors adopt a twofold approach. First, they derive a pathwise super-hedging duality where the super-hedging property only needs to hold for paths lying in a given prediction set $E$ which does not require any strong topological properties. Second, they obtain a pathwise super-hedging duality for measurable claims. The authors have achieved said goals by imposing some assumptions and using relevant theorems, some of which are proved in the work. Further, the authors present an example showing that the random $G$-expectation could be modeled using their proposed setting. In Section 4 of their work they provide proofs of the main results. Results: Results obtained from the work are presented in the context of 4 lemmas and 1 proposition with accompanying proofs.