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arxiv: 1407.1674 · v2 · pith:LG2MBV6Nnew · submitted 2014-07-07 · 💱 q-fin.MF · math.OC· math.PR

Robust Superhedging with Jumps and Diffusion

classification 💱 q-fin.MF math.OCmath.PR
keywords processessuperhedgingdiffusiongeneralrobustclaimscontingentcontinuous
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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.

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