Pathwise superreplication via Vovk's outer measure (Q2412395)

The connection between model-independent pricing and the Skorokhod embedding problem is a driving force in robust finance. Taking this into account, the authors establish a general pricing-hedging duality for financial derivatives which are susceptible to the Skorokhod approach. As for the composition of the paper, it is as follows: first, Vovk's approach to mathematical finance is introduced and preliminary results are given. Second, using Vovk's approach, a model-independent superreplication theorem in continuous time is derived, given information on finitely many marginals. The result obtained covers a broad range of exotic derivatives, including lookback options, discretely monitored Asian options, and options on realized variance. The main difference between previous duality results and the present one is that now the dual problem is formulated in terms of pathwise superhedging.