Robust hedging and pathwise calculus
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Publication:6228551
arXiv1110.5202MaRDI QIDQ6228551FDOQ6228551
Authors: Heikki Tikanmäki 
Publication date: 24 October 2011
Abstract: We study the connections of two different pathwise hedging approaches. These approaches are BSV by Bender-Sottinen-Valkeila and CF by Cont-Fourni'e. We prove that both approaches give the same pathwise hedges, whenever both of the strategies exist. We also prove BSV type robust replication result for CF strategies.
Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic analysis (60H99)
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