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hal.structure.identifierCEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
dc.contributor.authorBouchard, Bruno
hal.structure.identifierDepartment of mathematics, Chinese University of Hong Kong
dc.contributor.authorTan, Xiaolu
dc.date.accessioned2020-05-04T09:08:12Z
dc.date.available2020-05-04T09:08:12Z
dc.date.issued2020
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/20680
dc.language.isoenen
dc.subjectSkorokhod spaceen
dc.subjectsuper-hedging resulten
dc.subject.ddc519en
dc.titleA quasi-sure optional decomposition and super-hedging result on the Skorokhod spaceen
dc.typeDocument de travail / Working paper
dc.description.abstractenWe 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.en
dc.publisher.nameCahier de recherche CEREMADE, Université Paris-Dauphineen
dc.publisher.cityParisen
dc.identifier.citationpages16en
dc.identifier.urlsitehttps://arxiv.org/abs/2004.11105en
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.identifier.citationdate2020-04
dc.description.ssrncandidatenonen
dc.description.halcandidatenonen
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.date.updated2020-05-04T09:04:40Z
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