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

analytic setsfinite support martingale measuremodel independent marketmodel uncertaintyrobust dualitysuperhedging theorem

Mathematics Subject Classification ID

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

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

(47)

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

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