A quasi-sure optional decomposition and super-hedging result on the Skorokhod space
Bouchard, Bruno; Tan, Xiaolu (2020), A quasi-sure optional decomposition and super-hedging result on the Skorokhod space. https://basepub.dauphine.fr/handle/123456789/20680
TypeDocument de travail / Working paper
External document linkhttps://arxiv.org/abs/2004.11105
Cahier de recherche CEREMADE, Université Paris-Dauphine
MetadataShow full item record
CEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
Department of mathematics, Chinese University of Hong Kong
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.
Subjects / KeywordsSkorokhod space; super-hedging result
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