Robust Superhedging with Jumps and Diffusion
classification
💱 q-fin.MF
math.OCmath.PR
keywords
processessuperhedgingdiffusiongeneralrobustclaimscontingentcontinuous
read the original abstract
We establish a nondominated version of the optional decomposition theorem in a setting that includes jump processes with nonvanishing diffusion as well as general continuous processes. This result is used to derive a robust superhedging duality and the existence of an optimal superhedging strategy for general contingent claims. We illustrate the main results in the framework of nonlinear L\'evy processes.
This paper has not been read by Pith yet.
discussion (0)
Sign in with ORCID, Apple, or X to comment. Anyone can read and Pith papers without signing in.