A quasi-sure optional decomposition and super-hedging result on the Skorokhod space
Year of publication: |
2021
|
---|---|
Authors: | Bouchard, Bruno ; Tan, Xiaolu |
Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 1432-1122, ZDB-ID 1467022-7. - Vol. 25.2021, 3, p. 505-528
|
Subject: | Optional decomposition | Super-hedging duality | Functional Itô formula | Processes with jumps | Optionspreistheorie | Option pricing theory | Dekompositionsverfahren | Decomposition method | Stochastischer Prozess | Stochastic process |
-
Volatility derivatives in market models with jumps
Lo, Harry, (2011)
-
A benchmark approach to risk-minimization under partial information
Ceci, Claudia, (2014)
-
Self-decomposability and option pricing
Carr, Peter, (2007)
- More ...
-
Superreplication with proportional transaction cost under model uncertainty
Bouchard, Bruno, (2018)
-
A general Doob-Meyer-Mertens decomposition for $g$-supermartingale systems
Bouchard, Bruno, (2015)
-
The robust pricing-hedging duality for American options in discrete time financial markets
Aksamit, Anna, (2018)
- More ...