On the robust superhedging of measurable claims

DOI10.1214/ECP.V18-2739zbMATH Open1297.93188arXiv1302.1850MaRDI QIDQ743072FDOQ743072

Authors: Dylan Possamaï, Guillaume Royer, Nizar Touzi 

Publication date: 22 September 2014

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

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.

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

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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)

Cited In (22)

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

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