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- W1996011945 abstract "Abstract We study the connections of two different pathwise hedging approaches. These approaches are Bender-Sottinen-Valkeila (BSV) by Bender et al. (2008 Bender, C., Sottinen, T. and Valkeila, E. 2008. Pricing by hedging and no-arbitrage beyond semimartingales. Finance and Stochstics, 12(4): 441–468. [Crossref], [Web of Science ®] , [Google Scholar], Pricing by hedging and no-arbitrage beyond semimartingales, finance and stochastics, 12(4), pp. 441–468.) and Cont and Fournié (CF) by Cont and Fournié (2010 Cont, R. and Fournié, D.-A. 2010. Change of variable formulas for non-anticipative functionals on path space. Journal of Functional Analysis, 259(4): 1043–1072. [Crossref], [Web of Science ®] , [Google Scholar], Change of variable formulas for non-anticipative functionals on path space, Journal of Functional Analysis, 259(4), pp. 1043–1072; in press, Functional Ito calculus and stochastic integral representation of martingales, Annals of probability). We prove that both approaches give the same pathwise hedges, whenever both of the strategies exist. We also prove BSV-type robust replication result for CF strategies." @default.
- W1996011945 created "2016-06-24" @default.
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- W1996011945 date "2013-07-01" @default.
- W1996011945 modified "2023-09-23" @default.
- W1996011945 title "Robust Hedging and Pathwise Calculus" @default.
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- W1996011945 doi "https://doi.org/10.1080/1350486x.2012.725978" @default.
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