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

DOI10.1007/s00780-016-0293-3zbMath1369.91175arXiv1406.0551WikidataQ59474920 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 bubble; local martingale models; martingale optimal transport; pricing-hedging duality; robust pricing and hedging; short selling constraint; trading restrictions

Mathematics Subject Classification ID

60G44: Martingales with continuous parameter

91G20: Derivative securities (option pricing, hedging, etc.)

91G99: Actuarial science and mathematical finance

Uses Software

• Mathematica