Model-free superhedging duality

DOI10.1214/16-AAP1235MaRDI QIDQ2403133zbMATH OpenFDO

Authors Matteo Burzoni, Marco Frittelli, Marco Maggis

Publication date 15 September 2017

Published in The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1506.06608

zbMATH Keywords

model uncertaintyanalytic setsrobust dualityfinite support martingale measuremodel independent marketsuperhedging theorem

Mathematics Subject Classification ID

Probability measures on topological spaces (60B05) Martingales with discrete parameter (60G42) Classes of sets (Borel fields, (sigma)-rings, etc.), measurable sets, Suslin sets, analytic sets (28A05) Microeconomic theory (price theory and economic markets) (91B24) Stochastic models in economics (91B70) Duality theory for topological vector spaces (46A20) Set-valued set functions and measures; integration of set-valued functions; measurable selections (28B20)

Abstract: In a model free discrete time financial market, we prove the superhedging duality theorem, where trading is allowed with dynamic and semi-static strategies. We also show that the initial cost of the cheapest portfolio that dominates a contingent claim on every possible path $omegainOmega$, might be strictly greater than the upper bound of the no-arbitrage prices. We therefore characterize the subset of trajectories on which this duality gap disappears and prove that it is an analytic set.

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Cited in

(44)

• Model-independent superhedging under portfolio constraints
• Universal arbitrage aggregator in discrete-time markets under uncertainty
• Model-free price bounds under dynamic option trading
• Fine properties of the optimal Skorokhod embedding problem
• On intermediate marginals in martingale optimal transportation
• Utility maximization with proportional transaction costs under model uncertainty
• Canonical supermartingale couplings
• Fatou closedness under model uncertainty
• On the quasi-sure superhedging duality with frictions
• On entropy martingale optimal transport theory
• On robust fundamental theorems of asset pricing in discrete time
• A guaranteed deterministic approach to superhedging: financial market model, trading constraints and Bellman-Isaacs equations
• Buy-and-hold property for fully incomplete markets when super-replicating Markovian claims
• Quantile hedging in a semi-static market with model uncertainty
• The robust superreplication problem: a dynamic approach
• Neural network approximation for superhedging prices
• Perturbation analysis of sub/super hedging problems
• Dual representation of superhedging costs in illiquid markets
• On arbitrage and duality under model uncertainty and portfolio constraints
• Trajectorial market models: arbitrage and pricing intervals
• A guaranteed deterministic approach to superhedging: financial market model, trading constraints, and the Bellman-Isaacs equations
• Model uncertainty: a reverse approach
• Arbitrage and hedging in model-independent markets with frictions
• Improved robust price bounds for multi-asset derivatives under market-implied dependence information
• Duality Formulas for Robust Pricing and Hedging in Discrete Time
• Neural networks can detect model-free static arbitrage strategies
• Arbitrage and duality in nondominated discrete-time models
• General financial market model defined by a liquidation value process
• Super‐replication with transaction costs under model uncertainty for continuous processes
• A unified framework for robust modelling of financial markets in discrete time
• A model-free version of the fundamental theorem of asset pricing and the super-replication theorem
• Duality for pathwise superhedging in continuous time
• Super-replication on illiquid markets -- semistatic approach
• A dynamic version of the super-replication theorem under proportional transaction costs
• Convex duality with transaction costs
• Weak transport for non‐convex costs and model‐independence in a fixed‐income market
• Structural Stability of the Financial Market Model: Continuity of Superhedging Price and Model Approximation
• Pointwise Arbitrage Pricing Theory in Discrete Time
• Pathwise superhedging under proportional transaction costs
• Constrained optimal transport
• A risk-neutral equilibrium leading to uncertain volatility pricing
• Martingale optimal transport duality
• MODEL-FREE WEAK NO-ARBITRAGE AND SUPERHEDGING UNDER TRANSACTION COSTS BEYOND EFFICIENT FRICTION
• Efficient hedging under ambiguity in continuous time

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