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- W4297954965 abstract "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." @default.
- W4297954965 created "2022-10-01" @default.
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- W4297954965 date "2014-07-07" @default.
- W4297954965 modified "2023-09-29" @default.
- W4297954965 title "Robust Superhedging with Jumps and Diffusion" @default.
- W4297954965 doi "https://doi.org/10.48550/arxiv.1407.1674" @default.
- W4297954965 hasPublicationYear "2014" @default.
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