naa a22 4500 528781774 20180924065512.0 cr unu---uuuuu 180924e201710 xx s 000 0 eng 10.3929/ethz-b-000123818 doi 10.1007/s00780-017-0338-2 doi (ETHRESEARCH)oai:www.research-collection.ethz.ch:20.500.11850/123818 Pathwise superreplication via Vovk's outer measure [Elektronische Daten] [Mathias Beiglböck, Alexander M.G. Cox, Martin Huesmann, Nicolas Perkowski, David J. Prömel] Finance stoch. Open access ethresearch 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. Creative Commons Attribution 4.0 International http://creativecommons.org/licenses/by/4.0 ethresearch Model-Independent Pricing ethresearch Optimal Transport ethresearch Skorokhod Embedding ethresearch Super-Replication Theorem ethresearch Vovk's Outer Measure ethresearch Contingent Pricing ethresearch Futures Pricing ethresearch Beiglböck Mathias joint author Cox Alexander M.G. joint author Huesmann Martin joint author Perkowski Nicolas joint author Prömel David J. joint author Finance and Stochastics Berlin : Springer 21 (4), pp. 1141-1166 0949-2984 http://hdl.handle.net/20.500.11850/123818 text/html WWW-Backlink auf das Repository (Open access) 1 Journal Article ethresearch ETHRESEARCH 856 40 http://hdl.handle.net/20.500.11850/123818 text/html WWW-Backlink auf das Repository (Open access) ETHRESEARCH 700 1- Beiglböck Mathias joint author ETHRESEARCH 700 1- Cox Alexander M.G. joint author ETHRESEARCH 700 1- Huesmann Martin joint author ETHRESEARCH 700 1- Perkowski Nicolas joint author ETHRESEARCH 700 1- Prömel David J. joint author ETHRESEARCH 773 0- Finance and Stochastics Berlin : Springer 21 (4), pp. 1141-1166 0949-2984 BK010053 XK010053 XK010000 ETHRESEARCH ETHRESEARCH ETHRESEARCH Journal Article Open access