Pathwise no-arbitrage in a class of delta hedging strategies

DOI10.1186/s41546-016-0003-2zbMath1443.91299arXiv1511.00026OpenAlexW2963253639WikidataQ59469132 ScholiaQ59469132MaRDI QIDQ2296083

Iryna Voloshchenko, Alexander Schied

Publication date: 17 February 2020

Published in: Probability, Uncertainty and Quantitative Risk (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1511.00026

zbMATH Keywords

exotic optionsFöllmer integrallocal volatilitypathwise hedgingfunctional Itô formulapathwise Itô calculusfunctional Cauchy problem on path spacepathwise arbitrage

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic integrals (60H05)

Related Items (10)

Constructing functions with prescribed pathwise quadratic variation ⋮ A superhedging approach to stochastic integration ⋮ Model-Free Portfolio Theory and Its Functional Master Formula ⋮ Option pricing models without probability: a rough paths approach ⋮ A model‐free approach to continuous‐time finance ⋮ Model‐free portfolio theory: A rough path approach ⋮ A càdlàg rough path foundation for robust finance ⋮ Unnamed Item ⋮ Duality for pathwise superhedging in continuous time ⋮ Pathwise no-arbitrage in a class of delta hedging strategies

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