Robust Superhedging with Jumps and Diffusion

2014/07/07 by Nutz, Marcel · 2 citations
#60G44 #91B25 #93E20 #FOS: Economics and business #FOS: Mathematics #Mathematical Finance (q-fin.MF) #Optimization and Control (math.OC) #Probability (math.PR)

paper · doi:10.48550/arxiv.1407.1674

Abstract

We establish a nondominated version of the optional decomposition theorem in a setting that includes jump processes with nonvanishing diffusion as well as general continuous processes. This result is used to derive a robust superhedging duality and the existence of an optimal superhedging strategy for general contingent claims. We illustrate the main results in the framework of nonlinear Lévy processes.

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