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• W2767781526 abstract "In this paper we provide a pricing-hedging duality for the model-independent superhedging price with respect to a prediction set $Xisubseteq C[0,T]$, where the superhedging property needs to hold pathwise, but only for paths lying in $Xi$. For any Borel measurable claim $xi$ which is bounded from below, the superhedging price coincides with the supremum over all pricing functionals $mathbb{E}_{mathbb{Q}}[xi]$ with respect to martingale measures $mathbb{Q}$ concentrated on the prediction set $Xi$. This allows to include beliefs in future paths of the price process expressed by the set $Xi$, while eliminating all those which are seen as impossible. Moreover, we provide several examples to justify our setup." @default.
• W2767781526 created "2017-11-17" @default.
• W2767781526 creator A5010656544 @default.
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• W2767781526 date "2017-11-07" @default.
• W2767781526 modified "2023-09-27" @default.
• W2767781526 title "Pathwise superhedging on prediction sets" @default.
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• W2767781526 hasPublicationYear "2017" @default.
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