Duality for pathwise superhedging in continuous time
We provide a model-free pricing–hedging duality in continuous time. For a frictionless market consisting of d risky assets with continuous price trajectories, we show that the purely analytic problem of finding the minimal superhedging price of a path-dependent European option has the same value...
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| Fformat: | Journal article |
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Springer Berlin Heidelberg
2019
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