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- W3122253717 abstract "We consider a strictly pathwise setting for Delta hedging exotic options, based on Follmer's pathwise It=o calculus. Price trajectories are $d$-dimensional continuous functions whose pathwise quadratic variations and covariations are determined by a given local volatility matrix. The existence of Delta hedging strategies in this pathwise setting is established via existence results for recursive schemes of parabolic Cauchy problems and via the existence of functional Cauchy problems on path space. Our main results establish the nonexistence of pathwise arbitrage opportunities in classes of strategies containing these Delta hedging strategies and under relatively mild conditions on the local volatility matrix." @default.
- W3122253717 created "2021-02-01" @default.
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- W3122253717 date "2016-06-01" @default.
- W3122253717 modified "2023-09-27" @default.
- W3122253717 title "Pathwise no-arbitrage in a class of Delta hedging strategies" @default.
- W3122253717 hasPublicationYear "2016" @default.
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