3 papers
math.PR2026
Optional Stopping for Superhedging Supermartingales
Christian Bender, Sebastian E. Ferrando
Superhedging supermartingales, introduced by the authors in previous work, are non-probabilistic processes defined via subadditive outer integrals that carry a purely financial int…
q-fin.MF2025
Agent-Based Models for Two Stocks with Superhedging
Dario Crisci, Sebastian E. Ferrando, Konrad Gajewski
An agent-based modelling methodology for the joint price evolution of two stocks is put forward. The method models future multidimensional price trajectories reflecting how a class…
math.PR2023
Superhedging Supermartingales
C. Bender, S. E. Ferrando, K. Gajewski +1
Supermartingales are here defined on a non-probabilistic setting and can be interpreted solely in terms of superhedging operations. The classical expectation operator is replaced b…