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arxiv: 1812.10876 · v2 · pith:UCKN2OQWnew · submitted 2018-12-28 · 💱 q-fin.MF

Efficient hedging under ambiguity in continuous time

classification 💱 q-fin.MF
keywords hedgingminimalpriceacceptableaggregationambiguityclaimclaims
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It is well known that the minimal superhedging price of a contingent claim is too high for practical use. In a continuous-time model uncertainty framework, we consider a relaxed hedging criterion based on acceptable shortfall risks. Combining existing aggregation and convex dual representation theorems, we derive duality results for the minimal price on the set of upper semicontinuous discounted claims.

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