Robust hedging and pathwise calculus
Probability
2011-12-12 v3
Abstract
We study the connections of two different pathwise hedging approaches. These approaches are BSV by Bender-Sottinen-Valkeila and CF by Cont-Fourni\'e. We prove that both approaches give the same pathwise hedges, whenever both of the strategies exist. We also prove BSV type robust replication result for CF strategies.
Cite
@article{arxiv.1110.5202,
title = {Robust hedging and pathwise calculus},
author = {Heikki Tikanmäki},
journal= {arXiv preprint arXiv:1110.5202},
year = {2011}
}