Pathwise superreplication via Vovk's outer measure
| LEADER | naa a22 4500 | ||
|---|---|---|---|
| 001 | 528781774 | ||
| 005 | 20180924065512.0 | ||
| 007 | cr unu---uuuuu | ||
| 008 | 180924e201710 xx s 000 0 eng | ||
| 024 | 7 | 0 | |a 10.3929/ethz-b-000123818 |2 doi |
| 024 | 7 | 0 | |a 10.1007/s00780-017-0338-2 |2 doi |
| 035 | |a (ETHRESEARCH)oai:www.research-collecti.ethz.ch:20.500.11850/123818 | ||
| 245 | 0 | 0 | |a Pathwise superreplication via Vovk's outer measure |h [Elektronische Daten] |c [Mathias Beiglböck, Alexander M.G. Cox, Martin Huesmann, Nicolas Perkowski, David J. Prömel] |
| 246 | 0 | |a Finance stoch. | |
| 506 | |a Open access |2 ethresearch | ||
| 520 | 3 | |a Since Hobson's seminal paper (Hobson in Finance Stoch. 2:329-347, 1998), the connection between model-independent pricing and the Skorokhod embedding problem has been a driving force in robust finance. We establish a general pricing-hedging duality for financial derivatives which are susceptible to the Skorokhod approach. Using Vovk's approach to mathematical finance, we derive a model-independent superreplication theorem in continuous time, given information on finitely many marginals. Our result covers a broad range of exotic derivatives, including lookback options, discretely monitored Asian options, and options on realized variance. | |
| 540 | |a Creative Commons Attribution 4.0 International |u http://creativecommons.org/licenses/by/4.0 |2 ethresearch | ||
| 690 | 7 | |a Model-Independent Pricing |2 ethresearch | |
| 690 | 7 | |a Optimal Transport |2 ethresearch | |
| 690 | 7 | |a Skorokhod Embedding |2 ethresearch | |
| 690 | 7 | |a Super-Replication Theorem |2 ethresearch | |
| 690 | 7 | |a Vovk's Outer Measure |2 ethresearch | |
| 690 | 7 | |a Contingent Pricing |2 ethresearch | |
| 690 | 7 | |a Futures Pricing |2 ethresearch | |
| 700 | 1 | |a Beiglböck |D Mathias |e joint author | |
| 700 | 1 | |a Cox |D Alexander M.G. |e joint author | |
| 700 | 1 | |a Huesmann |D Martin |e joint author | |
| 700 | 1 | |a Perkowski |D Nicolas |e joint author | |
| 700 | 1 | |a Prömel |D David J. |e joint author | |
| 773 | 0 | |t Finance and Stochastics |d Berlin : Springer |g 21 (4), pp. 1141-1166 |x 0949-2984 | |
| 856 | 4 | 0 | |u http://hdl.handle.net/20.500.11850/123818 |q text/html |z WWW-Backlink auf das Repository (Open access) |
| 908 | |D 1 |a Journal Article |2 ethresearch | ||
| 950 | |B ETHRESEARCH |P 856 |E 40 |u http://hdl.handle.net/20.500.11850/123818 |q text/html |z WWW-Backlink auf das Repository (Open access) | ||
| 950 | |B ETHRESEARCH |P 700 |E 1- |a Beiglböck |D Mathias |e joint author | ||
| 950 | |B ETHRESEARCH |P 700 |E 1- |a Cox |D Alexander M.G. |e joint author | ||
| 950 | |B ETHRESEARCH |P 700 |E 1- |a Huesmann |D Martin |e joint author | ||
| 950 | |B ETHRESEARCH |P 700 |E 1- |a Perkowski |D Nicolas |e joint author | ||
| 950 | |B ETHRESEARCH |P 700 |E 1- |a Prömel |D David J. |e joint author | ||
| 950 | |B ETHRESEARCH |P 773 |E 0- |t Finance and Stochastics |d Berlin : Springer |g 21 (4), pp. 1141-1166 |x 0949-2984 | ||
| 898 | |a BK010053 |b XK010053 |c XK010000 | ||
| 949 | |B ETHRESEARCH |F ETHRESEARCH |b ETHRESEARCH |j Journal Article |c Open access | ||