• xmlui.mirage2.page-structure.header.title
    • français
    • English
  • Help
  • Login
  • Language 
    • Français
    • English
View Item 
  •   BIRD Home
  • CEREMADE (UMR CNRS 7534)
  • CEREMADE : Publications
  • View Item
  •   BIRD Home
  • CEREMADE (UMR CNRS 7534)
  • CEREMADE : Publications
  • View Item
JavaScript is disabled for your browser. Some features of this site may not work without it.

Browse

BIRDResearch centres & CollectionsBy Issue DateAuthorsTitlesTypeThis CollectionBy Issue DateAuthorsTitlesType

My Account

LoginRegister

Statistics

Most Popular ItemsStatistics by CountryMost Popular Authors
Thumbnail

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
OptDecomp.pdf (348.7Kb)
Type
Document de travail / Working paper
External document link
https://arxiv.org/abs/2004.11105
Date
2020
Publisher
Cahier de recherche CEREMADE, Université Paris-Dauphine
Published in
Paris
Pages
16
Metadata
Show full item record
Author(s)
Bouchard, Bruno
CEntre 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 result

Related items

Showing items related by title and author.

  • Thumbnail
    Tightness and duality of martingale transport on the Skorokhod space 
    Guo, Gaoyue; Tan, Xiaolu; Touzi, Nizar (2017) Article accepté pour publication ou publié
  • Thumbnail
    Understanding the dual formulation for the hedging of path-dependent options with price impact 
    Bouchard, Bruno; Tan, Xiaolu (2022) Article accepté pour publication ou publié
  • Thumbnail
    A general Doob-Meyer-Mertens decomposition for g-supermartingale systems 
    Bouchard, Bruno; Possamaï, Dylan; Tan, Xiaolu (2016) Article accepté pour publication ou publié
  • Thumbnail
    Numerical approximation of BSDEs using local polynomial drivers and branching processes 
    Bouchard, Bruno; Tan, Xiaolu; Warin, Xavier; Zou, Yiyi (2017) Article accepté pour publication ou publié
  • Thumbnail
    Approximate viscosity solutions of path-dependent PDEs and Dupire's vertical differentiability 
    Bouchard, Bruno; Loeper, Grégoire; Tan, Xiaolu (2021-09) Document de travail / Working paper
Dauphine PSL Bibliothèque logo
Place du Maréchal de Lattre de Tassigny 75775 Paris Cedex 16
Phone: 01 44 05 40 94
Contact
Dauphine PSL logoEQUIS logoCreative Commons logo