Pathwise superhedging on prediction sets

Bartl, D; Kupper, M; Neufeld, A

Neufeld, A (reprint author), NTU Singapore, Div Math Sci, Singapore, Singapore.

FINANCE AND STOCHASTICS, 2020; 24 (1): 215

Abstract

In this paper, we provide a pricing-hedging duality for the model-independent superhedging price with respect to a prediction set . C[0, T], where the......

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