
A quasi-sure optional decomposition and super-hedging result on the Skorokhod space
Bouchard, Bruno; Tan, Xiaolu (2020), A quasi-sure optional decomposition and super-hedging result on the Skorokhod space. https://basepub.dauphine.fr/handle/123456789/20680
View/ Open
Type
Document de travail / Working paperExternal document link
https://arxiv.org/abs/2004.11105Date
2020Publisher
Cahier de recherche CEREMADE, Université Paris-Dauphine
Published in
Paris
Pages
16
Metadata
Show full item recordAuthor(s)
Bouchard, BrunoCEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
Tan, Xiaolu
Department of mathematics, Chinese University of Hong Kong
Abstract (EN)
We prove a robust super-hedging duality result for path-dependent options on assets with jumps, in a continuous time setting. It requires that the collection of martingale measures is rich enough and that the payoff function satisfies some continuity property. It is a by-product of a quasi-sure version of the optional decomposition theorem, which can also be viewed as a functional version of Itô’s Lemma, that applies to non-smooth functionals (of càdlàg processes) which are only concave in space and non-increasing in time, in the sense of Dupire.Subjects / Keywords
Skorokhod space; super-hedging resultRelated items
Showing items related by title and author.
-
Guo, Gaoyue; Tan, Xiaolu; Touzi, Nizar (2017) Article accepté pour publication ou publié
-
Bouchard, Bruno; Tan, Xiaolu (2022) Article accepté pour publication ou publié
-
Bouchard, Bruno; Possamaï, Dylan; Tan, Xiaolu (2016) Article accepté pour publication ou publié
-
Bouchard, Bruno; Tan, Xiaolu; Warin, Xavier; Zou, Yiyi (2017) Article accepté pour publication ou publié
-
Bouchard, Bruno; Loeper, Grégoire; Tan, Xiaolu (2021-09) Document de travail / Working paper