On the Robust superhedging of measurable claims
By Dylan Possamaï, Guillaume Royer, Nizar Touzi. 2013
52 citations recorded by the source corpus.
The problem of robust hedging requires to solve the problem of superhedging under a nondominated family of singular measures. Recent progress was achieved by van Handel, Neufeld, and Nutz. 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.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/f3c378481a3b3345d3de997edeed02bc07f660a3
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
- Bruno Bouchard
- Xiaolu Tan
- Sara Biagini
- Ariel Neufeld
- Dylan Possamaï
- Constantinos Kardaras
- Jianfeng Zhang
In Finance
- Marcel Nutz
- Bruno Bouchard
- Xiaolu Tan
- Ariel Neufeld
- Dylan Possamaï
- Sara Biagini
- Constantinos Kardaras
- Chao Zhou
Citations in the corpus
- ROBUST FUNDAMENTAL THEOREM FOR CONTINUOUS PROCESSES (2014, background): “[5, 16, 20, 30, 36, 38, 39, 41, 44, 45], among others, or when all paths are considered possible for the stock and options are also traded; see, e.”
- Stochastic control for a class of nonlinear kernels and applications (2015, background): “2) with r = 0, and where the set of measures considered satisfy the predictable martingale representation property (that is the financial market is complete under any of the measures considered) this superhedging price has been thoroughly studied in the recent literature, see among others [2, 6, 25,”
- Superreplication under Volatility Uncertainty for Measurable Claims (2012, methodology): “Part of this research was carried out while M. Nutz was visiting the Forschungsinstitut für Mathematik at ETH Zurich, and he would like to thank Martin Schweizer, Mete Soner and Josef Teichmann for their hospitality.”
- Measurability of semimartingale characteristics with respect to the probability law (2013, background): “Other examples where sets of semimartingale laws play a role are path-dependent PDEs [10], robust superhedging as in [16, 25] or nonlinear optimal stopping problems as in [21], to name but a few.”