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- W2951680354 abstract "In a discrete-time market, we study model-independent superhedging, while the semi-static superhedging portfolio consists of {it three} parts: static positions in liquidly traded vanilla calls, static positions in other tradable, yet possibly less liquid, exotic options, and a dynamic trading strategy in risky assets under certain constraints. By considering the limit order book of each tradable exotic option and employing the Monge-Kantorovich theory of optimal transport, we establish a general superhedging duality, which admits a natural connection to convex risk measures. With the aid of this duality, we derive a model-independent version of the fundamental theorem of asset pricing. The notion finite optimal arbitrage profit, weaker than no-arbitrage, is also introduced. It is worth noting that our method covers a large class of Delta constraints as well as Gamma constraint." @default.
- W2951680354 created "2019-06-27" @default.
- W2951680354 creator A5076011582 @default.
- W2951680354 creator A5080431541 @default.
- W2951680354 date "2014-02-11" @default.
- W2951680354 modified "2023-09-23" @default.
- W2951680354 title "Model-independent Superhedging under Portfolio Constraints" @default.
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- W2951680354 doi "https://doi.org/10.48550/arxiv.1402.2599" @default.
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