Robust pricing-hedging dualities in continuous time
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Publication:1650938
DOI10.1007/s00780-018-0363-9zbMath1402.91789arXiv1503.02822OpenAlexW2807670743WikidataQ129801359 ScholiaQ129801359MaRDI QIDQ1650938
Publication date: 16 July 2018
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1503.02822
martingale optimal transportpricing-hedging dualityrobust pricing and hedgingpath space restrictionspathwise modelling
Microeconomic theory (price theory and economic markets) (91B24) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (41)
Robust pricing and hedging under trading restrictions and the emergence of local martingale models ⋮ Robust estimation of superhedging prices ⋮ The geometry of multi-marginal Skorokhod embedding ⋮ Martingale optimal transport duality ⋮ Robust deep hedging ⋮ Pathwise superreplication via Vovk's outer measure ⋮ Distributionally robust portfolio maximization and marginal utility pricing in one period financial markets ⋮ Super‐replication with transaction costs under model uncertainty for continuous processes ⋮ Neural network approximation for superhedging prices ⋮ Pointwise Arbitrage Pricing Theory in Discrete Time ⋮ Numerical Method for Model-free Pricing of Exotic Derivatives in Discrete Time Using Rough Path Signatures ⋮ On intermediate marginals in martingale optimal transportation ⋮ Robust Framework for Quantifying the Value of Information in Pricing and Hedging ⋮ A càdlàg rough path foundation for robust finance ⋮ Duality Formulas for Robust Pricing and Hedging in Discrete Time ⋮ Entropy martingale optimal transport and nonlinear pricing-hedging duality ⋮ ROBUST TRADING OF IMPLIED SKEW ⋮ Efficient hedging under ambiguity in continuous time ⋮ Realistic models of financial market and structural stability ⋮ ROBUST BOUNDS FOR DERIVATIVE PRICES IN MARKOVIAN MODELS ⋮ Robust hedging of options on a leveraged exchange traded fund ⋮ Monotonicity preserving transformations of MOT and SEP ⋮ Hedging with small uncertainty aversion ⋮ Path dependent optimal transport and model calibration on exotic derivatives ⋮ BUY-AND-HOLD PROPERTY FOR FULLY INCOMPLETE MARKETS WHEN SUPER-REPLICATING MARKOVIAN CLAIMS ⋮ Model-Free Price Bounds Under Dynamic Option Trading ⋮ Duality for pathwise superhedging in continuous time ⋮ Discretisation and duality of optimal Skorokhod embedding problems ⋮ Stochastic integration and differential equations for typical paths ⋮ Arbitrage-free modeling under Knightian uncertainty ⋮ Pathwise superhedging on prediction sets ⋮ Peacock geodesics in Wasserstein space ⋮ The Robust Superreplication Problem: A Dynamic Approach ⋮ Computational methods for martingale optimal transport problems ⋮ A unified framework for robust modelling of financial markets in discrete time ⋮ Optimal Skorokhod Embedding Under Finitely Many Marginal Constraints ⋮ On the Monotonicity Principle of Optimal Skorokhod Embedding Problem ⋮ Robust Pricing and Hedging of Options on Multiple Assets and Its Numerics ⋮ Reduced-form framework under model uncertainty ⋮ Model Uncertainty: A Reverse Approach ⋮ Model-independent pricing with insider information: a skorokhod embedding approach
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