Model-independent superhedging under portfolio constraints

DOI10.1007/s00780-015-0284-9zbMath1391.91156arXiv1402.2599OpenAlexW3122589000MaRDI QIDQ261914

Arash Fahim, Yu-Jui Huang

Publication date: 29 March 2016

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1402.2599

zbMATH Keywords

delta and gamma constraintsdiscrete-time financial marketliquid and non-liquid derivativesmodel-independent super-hedgingMonge-Kantorovic optimal transport

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Fine properties of the optimal Skorokhod embedding problem ⋮ Canonical supermartingale couplings ⋮ Robust pricing and hedging under trading restrictions and the emergence of local martingale models ⋮ Robust pricing-hedging dualities in continuous time ⋮ Supermartingale Brenier's theorem with full-marginals constraint ⋮ A potential-based construction of the increasing supermartingale coupling ⋮ Duality Formulas for Robust Pricing and Hedging in Discrete Time ⋮ An explicit martingale version of the one-dimensional Brenier's theorem with full marginals constraint ⋮ Arbitrage-free pricing of derivatives in nonlinear market models ⋮ Compactness criterion for semimartingale laws and semimartingale optimal transport ⋮ Model-independent pricing with insider information: a skorokhod embedding approach

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