Robust hedging and pathwise calculus

Abstract

We study the connections of two different pathwise hedging approaches. These approaches are BSV by Bender-Sottinen-Valkeila and CF by Cont-Fournié. We prove that both approaches give the same pathwise hedges, whenever both of the strategies exist. We also prove BSV type robust replication result for CF strategies.

References in corpus (2)

• Functional Itô calculus and stochastic integral representation of martingales
• Consistent price systems and face-lifting pricing under transaction costs