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December 2019 Robust pricing and hedging around the globe
Sebastian Herrmann, Florian Stebegg
Ann. Appl. Probab. 29(6): 3348-3386 (December 2019). DOI: 10.1214/19-AAP1482

Abstract

We consider the martingale optimal transport duality for càdlàg processes with given initial and terminal laws. Strong duality and existence of dual optimizers (robust semistatic superhedging strategies) are proved for a class of payoffs that includes American, Asian, Bermudan and European options with intermediate maturity. We exhibit an optimal superhedging strategy for which the static part solves an auxiliary problem and the dynamic part is given explicitly in terms of the static part.

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Sebastian Herrmann. Florian Stebegg. "Robust pricing and hedging around the globe." Ann. Appl. Probab. 29 (6) 3348 - 3386, December 2019. https://doi.org/10.1214/19-AAP1482

Information

Received: 1 September 2017; Revised: 1 October 2018; Published: December 2019
First available in Project Euclid: 7 January 2020

zbMATH: 07172337
MathSciNet: MR4047983
Digital Object Identifier: 10.1214/19-AAP1482

Subjects:
Primary: 49N05, 60G44, 91G20

Rights: Copyright © 2019 Institute of Mathematical Statistics

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Vol.29 • No. 6 • December 2019
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