Model-free superhedging duality
By Matteo Burzoni, Marco Frittelli, Marco Maggis. 2015
61 citations recorded by the source corpus.
In a model free discrete time financial market, we prove the superhedging duality theorem, where trading is allowed with dynamic and semi-static strategies. We also show that the initial cost of the cheapest portfolio that dominates a contingent claim on every possible path $\omega \in \Omega$, might be strictly greater than the upper bound of the no-arbitrage prices. We therefore characterize the subset of trajectories on which this duality gap disappears and prove that it is an analytic set.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/61c1b711c0408e364ca9927f18210b18a0ec10ba
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Marcel Nutz
- Mathias Beiglbock
- Nizar Touzi
- Bruno Bouchard
- Emmanuel Gobet
- Huyen Pham
- Shige Peng
- Xiaolu Tan
In Finance
- Marcel Nutz
- Nizar Touzi
- Mathias Beiglbock
- Daniel Bartl
- Bruno Bouchard
- Ariel Neufeld
- Jianfeng Zhang
- Xiaolu Tan
Citations in the corpus
- Complete Duality for Martingale Optimal Transport on the Line (2015, background): “eys. Theoppositedirectionistakenin[3],whereSkorokhod embeddingsarestudiedfromanoptimaltransportpointofview. Recently,a richliteraturehasemergedaroundthetopicsofmodelrobustnessandtransport; see, e.g., [1, 8, 13, 14, 15, 16, 22, 35] for models in discrete time and [6,11,18,17,20,21,24,25,32,34,36,38,4”