Robust Pricing and Hedging around the Globe
Probability
2019-04-10 v2 Optimization and Control
Mathematical Finance
Abstract
We consider the martingale optimal transport duality for c\`adl\`ag processes with given initial and terminal laws. Strong duality and existence of dual optimizers (robust semi-static superhedging strategies) are proved for a class of payoffs that includes American, Asian, Bermudan, and European options with intermediate maturity. We exhibit an optimal superhedging strategy for which the static part solves an auxiliary problem and the dynamic part is given explicitly in terms of the static part.
Keywords
Cite
@article{arxiv.1707.08545,
title = {Robust Pricing and Hedging around the Globe},
author = {Sebastian Herrmann and Florian Stebegg},
journal= {arXiv preprint arXiv:1707.08545},
year = {2019}
}
Comments
forthcoming in Annals of Applied Probability