• français
    • English
  • français 
    • français
    • English
  • Login
JavaScript is disabled for your browser. Some features of this site may not work without it.
BIRD Home

Browse

This CollectionBy Issue DateAuthorsTitlesSubjectsJournals BIRDResearch centres & CollectionsBy Issue DateAuthorsTitlesSubjectsJournals

My Account

Login

Statistics

View Usage Statistics

A quasi-sure optional decomposition and super-hedging result on the Skorokhod space

Thumbnail
View/Open
OptDecomp.pdf (348.7Kb)
Date
2020
Publisher city
Paris
Publisher
Cahier de recherche CEREMADE, Université Paris-Dauphine
Publishing date
04-2020
Link to item file
https://arxiv.org/abs/2004.11105
Dewey
Probabilités et mathématiques appliquées
Sujet
Skorokhod space; super-hedging result
URI
https://basepub.dauphine.fr/handle/123456789/20680
Collections
  • CEREMADE : Publications
Metadata
Show full item record
Author
Bouchard, Bruno
60 CEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
Tan, Xiaolu
216716 Department of mathematics, Chinese University of Hong Kong
Type
Document de travail / Working paper
Item number of pages
16
Abstract (EN)
We prove a robust super-hedging duality result for path-dependent options on assets with jumps, in a continuous time setting. It requires that the collection of martingale measures is rich enough and that the payoff function satisfies some continuity property. It is a by-product of a quasi-sure version of the optional decomposition theorem, which can also be viewed as a functional version of Itô’s Lemma, that applies to non-smooth functionals (of càdlàg processes) which are only concave in space and non-increasing in time, in the sense of Dupire.

  • Accueil Bibliothèque
  • Site de l'Université Paris-Dauphine
  • Contact
SCD Paris Dauphine - Place du Maréchal de Lattre de Tassigny 75775 Paris Cedex 16

 Content on this site is licensed under a Creative Commons 2.0 France (CC BY-NC-ND 2.0) license.