[Back]

M. Beiglböck, A. Cox, M. Huesmann, N. Perkowski, D. Prömel:
"Pathwise Super-Hedging via Vovk's Outer Measure";
Finance and Stochastics, Volume 21 (2017), Issue 4; 1141 - 1166.

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.

Model-independent pricing Optimal transport Skorokhod embedding Superreplication theorem Vovk´s outer measure / Mathematics Subject Classification (2010) 60G44 91G20 91B24 JEL Classification G13

https://link.springer.com/article/10.1007/s00780-017-0338-2