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Duality for pathwise superhedging in continuous time |
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| Authors: | Bartl Daniel Kupper Michael Prömel David J Tangpi Ludovic |
| Institution: | 1.Fakultät für Mathematik, Universität Wien, Vienna, Austria ;2.Fachbereich Mathematik und Statistik, Universität Konstanz, Konstanz, Germany ;3.Mathematical Institute, University of Oxford, Oxford, UK ;4.ORFE Department, Princeton University, Princeton, USA ; |
| Abstract: | Finance and Stochastics - We provide a model-free pricing–hedging duality in continuous time. For a frictionless market consisting of $d$ risky assets with continuous price... |
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