2015/06/22 by Matteo Burzoni, Burzoni, Matteo, Marco Frittelli +3 · 2 citations
Economics, Econometrics and Finance · #Stochastic processes and financial applications #Economic theories and models #Financial Markets and Investment Strategies
paper · pdf · doi:10.48550/arxiv.1506.06608
In a model free discrete time financial market, we prove the superhedging duality theorem, where trading is allowed with dynamic and semi-static strategies. We also show that the initial cost of the cheapest portfolio that dominates a contingent claim on every possible path ω∈ Ω, 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.