Robust pricing and hedging under trading restrictions and the emergence of local martingale models

DOI10.1007/s00780-016-0293-3zbMath1369.91175arXiv1406.0551OpenAlexW2096772538WikidataQ59474920 ScholiaQ59474920MaRDI QIDQ309166

Jan Obłój, Zhaoxu Hou, Alexander Matthew Gordon Cox

Publication date: 7 September 2016

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

Full work available at URL: https://arxiv.org/abs/1406.0551

zbMATH Keywords

financial bubblelocal martingale modelsmartingale optimal transportpricing-hedging dualityrobust pricing and hedgingshort selling constrainttrading restrictions

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20) Actuarial science and mathematical finance (91G99)

Related Items (10)

Fine properties of the optimal Skorokhod embedding problem ⋮ Canonical supermartingale couplings ⋮ Robust pricing-hedging dualities in continuous time ⋮ Unnamed Item ⋮ A risk-neutral equilibrium leading to uncertain volatility pricing ⋮ Robust hedging of options on a leveraged exchange traded fund ⋮ Quantile hedging in a semi-static market with model uncertainty ⋮ Financial asset price bubbles under model uncertainty ⋮ A unified framework for robust modelling of financial markets in discrete time ⋮ Model-independent pricing with insider information: a skorokhod embedding approach

Uses Software

• Mathematica

Cites Work

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