Robust superhedging with jumps and diffusion

DOI10.1016/j.spa.2015.07.008zbMath1326.60120arXiv1407.1674OpenAlexW2963189739MaRDI QIDQ744974

Marcel Nutz

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

zbMATH Keywords

diffusionsuperreplicationjump processesoptional decompositionrobust superhedgingnondominated modelnonlinear Lévy processes

Mathematics Subject Classification ID

Related Items (20)

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

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