On the robust superhedging of measurable claims

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

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 (24)

• The maximum maximum of a martingale with given \(n\) marginals
• McKean-Vlasov optimal control: the dynamic programming principle
• Robust estimation of superhedging prices
• Robust hedging with proportional transaction costs
• 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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