MODEL-FREE SUPERHEDGING DUALITY

被引：32

作者：

Burzoni, Matte ^{[1
]}

Frittelli, Marco ^{[2
]}

Maggis, Marco ^{[2
]}

机构：

[1] Swiss Fed Inst Technol, Dept Math, Ramistr 101, CH-8092 Zurich, Switzerland

[2] Univ Milan, Dept Math, Via C Saldini 50, I-20122 Milan, Italy

来源：

ANNALS OF APPLIED PROBABILITY | 2017年 / 27卷 / 03期

关键词：

Superhedging theorem; model independent market; model uncertainty; robust duality; finite support martingale measure; analytic sets; ARBITRAGE; MARTINGALE;

D O I：

10.1214/16-AAP1235

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In a model-free discrete time financial market, we prove the superhedging duality theorem, where trading is allowed with dynamic and semistatic strategies. We also show that the initial cost of the cheapest portfolio that dominates a contingent claim on every possible path omega is an element of Omega, might be strictly greater than the upper bound of the no-arbitrage prices. We therefore characterize the subset of trajectories on which this duality gap disappears and prove that it is an analytic set.

引用

页码：1452 / 1477

页数：26

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