Pathwise superreplication via Vovk’s outer measure
نویسندگان
چکیده
منابع مشابه
Pathwise superreplication via Vovk's outer measure
Since Hobson’s seminal paper [17] the connection between model-independent pricing and the Skorokhod embedding problem has been a driving force in robust finance. We establish a general pricing-hedging duality for financial derivatives which are susceptible to the Skorokhod approach. Using Vovk’s approach to mathematical finance we derive a model-independent superreplication theorem in continuo...
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ژورنال
عنوان ژورنال: Finance and Stochastics
سال: 2017
ISSN: 0949-2984,1432-1122
DOI: 10.1007/s00780-017-0338-2