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 ]


  1. Daniel Bartl (University of Konstanz)
  2. Michael Kupper (University of Konstanz)
  3. Ariel Neufeld (ETH Zurich)

Topic Areas

Arbitrage Theory , Hedging , Robustness


WE-A-UI » Hedging: From Theory to Practice (11:30 - Wednesday, 18th July, Ui Chadhain)

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