Pathwise superhedging on prediction sets

We provide a pricing-hedging duality for the model-independent superhedging price with respect to a prediction set Ξ ⊆ C[0, T ], on which the superhedging property needs to hold pathwise. This allows to include beliefs in... [ view full abstract ]

We provide a pricing-hedging duality for the model-independent superhedging price with respect to a prediction set Ξ ⊆ C[0, T ], on which the superhedging property needs to hold pathwise. This allows to include beliefs in future paths of the price process expressed by the set Ξ, while eliminating all those which are seen as impossible. We provide several examples to justify our setup. The talk is based on joint work with Daniel Bartl and Ariel Neufeld.