Robust superhedging with jumps and diffusion

DOI10.1016/J.SPA.2015.07.008zbMATH Open1326.60120arXiv1407.1674OpenAlexW2963189739MaRDI QIDQ744974FDOQ744974

Authors: Marcel Nutz 

Publication date: 12 October 2015

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: We establish a nondominated version of the optional decomposition theorem in a setting that includes jump processes with nonvanishing diffusion as well as general continuous processes. This result is used to derive a robust superhedging duality and the existence of an optimal superhedging strategy for general contingent claims. We illustrate the main results in the framework of nonlinear L'evy processes.

Full work available at URL: https://arxiv.org/abs/1407.1674

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zbMATH Keywords

diffusionsuperreplicationjump processesoptional decompositionrobust superhedgingnondominated model[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=nonlinear+L%EF%BF%BD%EF%BF%BDvy+processes&go=Go nonlinear L��vy processes]

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Diffusion processes (60J60) Martingales with continuous parameter (60G44) Financial applications of other theories (91G80) Optimal stochastic control (93E20)

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Cited In (24)

• Financial asset price bubbles under model uncertainty
• Fine properties of the optimal Skorokhod embedding problem
• Second order backward SDE with random terminal time
• Robust utility maximization with nonlinear continuous semimartingales
• Canonical supermartingale couplings
• Stochastic control for a class of nonlinear kernels and applications
• Reduced-form framework under model uncertainty
• Neural network approximation for superhedging prices
• A predictable decomposition in an infinite assets model with jumps. Application to hedging and optimal investment
• A model‐free approach to continuous‐time finance
• European Options in a Nonlinear Incomplete Market Model with Default
• Wellposedness of second order reflected BSDEs: A new formulation
• Affine models with path-dependence under parameter uncertainty and their application in finance
• Numerical scheme for Dynkin games under model uncertainty
• A quasi-sure optional decomposition and super-hedging result on the Skorokhod space
• Duality theory for robust utility maximisation
• Reduced-form setting under model uncertainty with non-linear affine intensities
• A dynamic version of the super-replication theorem under proportional transaction costs
• Duality for pathwise superhedging in continuous time
• Nonlinear semimartingales and Markov processes with jumps
• Tightness and duality of martingale transport on the Skorokhod space
• A risk-neutral equilibrium leading to uncertain volatility pricing
• Uncertain Volatility Models with Stochastic Bounds
• Reflections on BSDEs

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