On the robust superhedging of measurable claims
Possamaï, Dylan; Royer, Guillaume; Touzi, Nizar (2013), On the robust superhedging of measurable claims, Electronic Communications in Probability, 18, 95. http://dx.doi.org/10.1214/ECP.v18-2739
Type
Article accepté pour publication ou publiéDate
2013Journal name
Electronic Communications in ProbabilityVolume
18Number
95Publisher
Institute of Mathematical Statistics
Publication identifier
Metadata
Show full item recordAbstract (EN)
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.Subjects / Keywords
problem of superhedging; robust hedgingRelated items
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