Robust superhedging with jumps and diffusion

Marcel Nutz

Stochastic Processes and their Applications, 2015, vol. 125, issue 12, 4543-4555

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.

Keywords: Superreplication; Optional decomposition; Nondominated model (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (20)

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DOI: 10.1016/j.spa.2015.07.008

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