35 citations · 144 across the 25 of their papers we have counts for
3 papers · 1 filter
Duality for pathwise superhedging in continuous time
Daniel Bartl, Michael Kupper, David J. Prömel +1
We provide a model-free pricing-hedging duality in continuous time. For a frictionless market consisting of risky assets with continuous price trajectories, we show that the pu…
A superhedging approach to stochastic integration
Rafał M. Łochowski, Nicolas Perkowski, David J. Prömel
Using Vovk's outer measure, which corresponds to a minimal superhedging price, the existence of quadratic variation is shown for "typical price paths" in the space of càdlàg functi…
Pathwise super-replication via Vovk's outer measure
Mathias Beiglböck, Alexander M. G. Cox, Martin Huesmann +2
Since Hobson's seminal paper [D. Hobson: Robust hedging of the lookback option. In: Finance Stoch. (1998)] the connection between model-independent pricing and the Skorokhod embedd…