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On robust pricing--hedging duality in continuous time

Abstract:

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 for static trading. Motivated by the notion of prediction set in Mykland (2003), we include in our setup modelling beliefs by allowing to specify a set of paths to be considered, e.g. super-replica...

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Institution:
University of Oxford
Department:
Oxford, MPLS, Mathematical Inst
Publication date:
2015-03-10
URN:
uuid:5918b4c2-a8cf-42c1-b68b-756a8f0c5935
Source identifiers:
510118
Local pid:
pubs:510118

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