Model-free Superhedging Duality

Matteo Burzoni, Marco Frittelli and Marco Maggis

Papers from arXiv.org

Abstract: 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 $\omega \in \Omega$, 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.

Date: 2015-06, Revised 2016-05
New Economics Papers: this item is included in nep-fmk
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