On the Robust superhedging of measurable claims

Dylan Possama\"i, Guillaume Royer and Nizar Touzi

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Abstract: The problem of robust hedging requires to solve the problem of superhedging under a nondominated family of singular measures. Recent progress was achieved by [9,11]. We show that the dual formulation of this problem is valid in a context suitable for martingale optimal transportation or, more generally, for optimal transportation under controlled stochastic dynamics.

Date: 2013-02, Revised 2013-02
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Citations: View citations in EconPapers (42)

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