On robust pricing--hedging duality in continuous time

On robust pricing--hedging duality in continuous time

We pursue robust approach to pricing and hedging in mathematical finance. We consider a continuous time setting in which some underlying assets and options, with continuous paths, are available for dynamic trading and a further set of European options, possibly with varying maturities, is available...

Szczegółowa specyfikacja

Opis bibliograficzny
Główni autorzy:	Hou, Z, Obloj, J
Format:	Journal article
Wydane:	2015

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