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
TypeArticle accepté pour publication ou publié
Journal nameElectronic Communications in Probability
Institute of Mathematical Statistics
MetadataShow full item record
Abstract (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 / Keywordsproblem of superhedging; robust hedging
Showing items related by title and author.