MODEL-FREE SUPERHEDGING DUALITY

• 成果类型: Article
• 署名作者: Burzoni, Matte; Frittelli, Marco; Maggis, Marco
• 署名单位: Swiss Federal Institutes of Technology Domain; ETH Zurich; University of Milan
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• DOI: 10.1214/16-AAP1235
• 发表日期: 2017
• 页码: 1452-1477
• 关键词: arbitrage; martingale

摘要

In a model-free discrete time financial market, we prove the superhedging duality theorem, where trading is allowed with dynamic and semistatic strategies. We also show that the initial cost of the cheapest portfolio that dominates a contingent claim on every possible path omega is an element of Omega, might be strictly greater than the upper bound of the no-arbitrage prices. We therefore characterize the subset of trajectories on which this duality gap disappears and prove that it is an analytic set.