On the robust superhedging of measurable claims

Dylan Possamaï (Université Paris Dauphine)
Guillaume Royer (École Polytechnique)
Nizar Touzi (École Polytechnique)

Abstract


The problem of robust hedging requires to solve the problem of superhedging under a nondominated family of singular measures. Recent progress was achieved by van Handel, Neufeld, and Nutz. We show that the dual formulation of this problem is valid in a context suitable for martingale optimal transportation or, more generally, for optimal transportation under controlled stochastic dynamics.


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Pages: 1-13

Publication Date: December 21, 2013

DOI: 10.1214/ECP.v18-2739

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