Robust superhedging with jumps and diffusion
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Publication:744974
DOI10.1016/j.spa.2015.07.008zbMath1326.60120arXiv1407.1674OpenAlexW2963189739MaRDI QIDQ744974
Publication date: 12 October 2015
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1407.1674
diffusionsuperreplicationjump processesoptional decompositionrobust superhedgingnondominated modelnonlinear Lévy processes
Processes with independent increments; Lévy processes (60G51) Optimal stochastic control (93E20) Martingales with continuous parameter (60G44) Diffusion processes (60J60) Financial applications of other theories (91G80)
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