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q-fin.PR2019
Generalized Duality for Model-Free Superhedging given Marginals
Arash Fahim, Yu-Jui Huang, Saeed Khalili
In a discrete-time financial market, a generalized duality is established for model-free superhedging, given marginal distributions of the underlying asset. Contrary to prior studi…
q-fin.PR2014★ 1 cited
Model-independent Superhedging under Portfolio Constraints
Arash Fahim, Yu-Jui Huang
In a discrete-time market, we study model-independent superhedging, while the semi-static superhedging portfolio consists of {\it three} parts: static positions in liquidly traded…