Efficient hedging under ambiguity in continuous time View Full Text


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Article Info

DATE

2020-08-28

AUTHORS

Ludovic Tangpi

ABSTRACT

It is well known that the minimal superhedging price of a contingent claim is too high for practical use. In a continuous-time model uncertainty framework, we consider a relaxed hedging criterion based on acceptable shortfall risks. Combining existing aggregation and convex dual representation theorems, we derive duality results for the minimal price on the set of upper semicontinuous discounted claims. More... »

PAGES

6

References to SciGraph publications

  • 2019-05-29. Duality for pathwise superhedging in continuous time in FINANCE AND STOCHASTICS
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  • 2017-12-29. Good deal hedging and valuation under combined uncertainty about drift and volatility in PROBABILITY, UNCERTAINTY AND QUANTITATIVE RISK
  • 2009-09-01. Representation results for law invariant time consistent functions in MATHEMATICS AND FINANCIAL ECONOMICS
  • 2010-05-07. Convex risk measures on Orlicz spaces: inf-convolution and shortfall in MATHEMATICS AND FINANCIAL ECONOMICS
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  • 1994-09. A general version of the fundamental theorem of asset pricing in MATHEMATISCHE ANNALEN
  • 2000-02. Efficient hedging: Cost versus shortfall risk in FINANCE AND STOCHASTICS
  • 2019. Nonlinear Expectations and Stochastic Calculus under Uncertainty, with Robust CLT and G-Brownian Motion in NONE
  • 2013-10-08. Martingale optimal transport and robust hedging in continuous time in PROBABILITY THEORY AND RELATED FIELDS
  • 2018-05-30. Robust pricing–hedging dualities in continuous time in FINANCE AND STOCHASTICS
  • 2019-11-22. Pathwise superhedging on prediction sets in FINANCE AND STOCHASTICS
  • 2012-08-30. Dynamic no-good-deal pricing measures and extension theorems for linear operators on L∞ in FINANCE AND STOCHASTICS
  • 2008-09-02. On convex risk measures on Lp-spaces in MATHEMATICAL METHODS OF OPERATIONS RESEARCH
  • 2013-04-19. Model-independent bounds for option prices—a mass transport approach in FINANCE AND STOCHASTICS
  • Identifiers

    URI

    http://scigraph.springernature.com/pub.10.1186/s41546-020-00048-9

    DOI

    http://dx.doi.org/10.1186/s41546-020-00048-9

    DIMENSIONS

    https://app.dimensions.ai/details/publication/pub.1130426644


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