Data di Pubblicazione:
2017
Citazione:
Model-free superhedging duality / M. Burzoni, M. Frittelli, M. Maggis. - In: THE ANNALS OF APPLIED PROBABILITY. - ISSN 1050-5164. - 27:3(2017), pp. 1452-1477. [10.1214/16-AAP1235]
Abstract:
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.
Tipologia IRIS:
01 - Articolo su periodico
Keywords:
Model Independent Market; Model Uncertainty; Robust Duality; Finite Support Martingale Measure; Analytic Sets
Elenco autori:
M. Burzoni, M. Frittelli, M. Maggis
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