Robust Superhedging with Jumps and Diffusion
Mathematical Finance
2015-07-20 v2 Optimization and Control
Probability
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 L\'evy processes.
Cite
@article{arxiv.1407.1674,
title = {Robust Superhedging with Jumps and Diffusion},
author = {Marcel Nutz},
journal= {arXiv preprint arXiv:1407.1674},
year = {2015}
}
Comments
Forthcoming in 'Stochastic Processes and their Applications'