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Robust Superhedging with Jumps and Diffusion

We establish a nondominated version of the optional decomposition theorem in a setting that includes jump processes with nonvanishing diffusion as well as general continuous processes. This result is used to derive a robust superhedging duality and the existence of an optimal superhedging strategy for general contingent claims. We illustrate the main results in the framework of nonlinear L\'evy processes.
Year of publication:
2014-07
Authors: Nutz, Marcel
Institutions: arXiv.org
Extent:
application/pdf
Series:
Type of publication: Book / Working Paper
Source:
Persistent link: https://www.econbiz.de/10010793634
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