On the robust superhedging of measurable claims

DOI10.1214/ECP.V18-2739MaRDI QIDQ743072zbMATH OpenFDO

Authors Dylan Possamaï, Guillaume Royer, Nizar Touzi

Publication date 22 September 2014

Published in Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1302.1850

zbMATH Keywords

quasi-sure stochastic analysisrobust hedging

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80) Optimal stochastic control (93E20)

Abstract: The problem of robust hedging requires to solve the problem of superhedging under a nondominated family of singular measures. Recent progress was achieved by [9,11]. We show that the dual formulation of this problem is valid in a context suitable for martingale optimal transportation or, more generally, for optimal transportation under controlled stochastic dynamics.

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Cited in

(25)

• Robust pricing-hedging dualities in continuous time
• Stochastic control for a class of nonlinear kernels and applications
• Quantile hedging in a semi-static market with model uncertainty
• Duality for pathwise superhedging in continuous time
• Asymptotic optimality of the generalized \(c\mu\) rule under model uncertainty
• A quasi-sure optional decomposition and super-hedging result on the Skorokhod space
• McKean-Vlasov optimal control: the dynamic programming principle
• Pathwise superhedging on prediction sets
• On the quasi-sure superhedging duality with frictions
• Reduced-form framework under model uncertainty
• Arbitrage and duality in nondominated discrete-time models
• Model uncertainty, recalibration, and the emergence of delta-vega hedging
• Pathwise superreplication via Vovk's outer measure
• A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options
• The maximum maximum of a martingale with given \(n\) marginals
• Robust estimation of superhedging prices
• Robust exponential hedging in a Brownian setting
• Superhedging and dynamic risk measures under volatility uncertainty
• Measurability of semimartingale characteristics with respect to the probability law
• Robust hedging with proportional transaction costs
• Hedging with small uncertainty aversion
• Optimal stopping with expectation constraints
• Stochastic control/stopping problem with expectation constraints
• The value of insider information for super-replication with quadratic transaction costs
• Robust superhedging with jumps and diffusion

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