Model-free superhedging duality
In a model-free discrete time financial market, we prove the superhedging duality theorem, where trading is allowed with dynamic and semistatic strategies. We also show that the initial cost of the cheapest portfolio that dominates a contingent claim on every possible path ω ∈ might be strictly grea...
| Main Authors: | , , |
|---|---|
| Format: | Journal article |
| Language: | English |
| Published: |
Institute of Mathematical Statistics
2017
|