Journal article
Robust pricing–hedging dualities in continuous time
- Abstract:
-
We pursue a robust approach to pricing and hedging in mathematical finance. We consider a continuous-time setting in which some underlying assets and options, with continuous price 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 (Ann. Stat. 31:1413–1438, 2003), we include in our setup modelling beliefs by allowing to specify a set of paths to ...
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- Publication status:
- Published
- Peer review status:
- Peer reviewed
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Bibliographic Details
- Publisher:
- Springer Berlin Heidelberg Publisher's website
- Journal:
- Finance and Stochastics Journal website
- Volume:
- 22
- Issue:
- 3
- Pages:
- 511-567
- Publication date:
- 2018-05-30
- Acceptance date:
- 2018-01-16
- DOI:
- ISSN:
-
0949-2984
Item Description
- Keywords:
- Pubs id:
-
pubs:510118
- UUID:
-
uuid:6ef1be54-3440-420c-9866-6bcaee0e5cf1
- Local pid:
- pubs:510118
- Source identifiers:
-
510118
- Deposit date:
- 2018-01-29
Terms of use
- Copyright holder:
- Hou and Obłój
- Copyright date:
- 2018
- Notes:
-
Copyright 2018 The Authors. This article is distributed under the terms of the Creative Commons Attribution 4.0 International
License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution,
and reproduction in any medium, provided you give appropriate credit to the original author(s) and
the source, provide a link to the Creative Commons license, and indicate if changes were made.
- Licence:
- CC Attribution (CC BY)
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