Pathwise superreplication via Vovk’s outer measure
Since Hobson’s seminal paper (Hobson in Finance Stoch. 2:329–347, 1998), the connection between model-independent pricing and the Skorokhod embedding problem has been a driving force in robust finance. We establish a general pricing–hedging duality for financial derivatives which are susceptible to...
| Main Authors: | , , , , |
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| Format: | Journal article |
| Published: |
Springer Verlag
2017
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