英文标题：
《Duality for pathwise superhedging in continuous time》
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作者：
Daniel Bartl, Michael Kupper, David J. Pr\\\"omel, Ludovic Tangpi
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最新提交年份：
2019
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英文摘要：
  We provide a model-free pricing-hedging duality in continuous time. For a frictionless market consisting of $d$ risky assets with continuous price trajectories, we show that the purely analytic problem of finding the minimal superhedging price of a path dependent European option has the same value as the purely probabilistic problem of finding the supremum of the expectations of the option over all martingale measures. The superhedging problem is formulated with simple trading strategies, the claim is the limit inferior of continuous functions, which allows for upper and lower semi-continuous claims, and superhedging is required in the pathwise sense on a $\\sigma$-compact sample space of price trajectories. If the sample space is stable under stopping, the probabilistic problem reduces to finding the supremum over all martingale measures with compact support. As an application of the general results we deduce dualities for Vovk\'s outer measure and semi-static superhedging with finitely many securities.
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中文摘要：
我们提供了连续时间内的无模型定价套期保值对偶。对于由具有连续价格轨迹的d$美元风险资产组成的无摩擦市场，我们证明了寻找路径依赖欧式期权的最小超边际价格的纯解析问题与寻找期权在所有鞅测度上的期望值的上确界的纯概率问题具有相同的价值。超边缘问题是用简单的交易策略来描述的，索赔是连续函数的次极限，允许上下半连续索赔，并且在价格轨迹的$\\ sigma$紧样本空间上需要路径意义上的超边缘。如果样本空间在停止下是稳定的，则概率问题归结为在紧支撑下寻找所有鞅测度的上确界。作为一般结果的一个应用，我们推导了有限多证券的Vovk外测度和半静态超边的对偶性。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Mathematical Finance        数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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一级分类：Mathematics        数学
二级分类：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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