zbMATH — the first resource for mathematics

On the robust superhedging of measurable claims. (English) Zbl 1297.93188
Summary: 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.

93E20 Optimal stochastic control
91B30 Risk theory, insurance (MSC2010)
91G80 Financial applications of other theories
91G20 Derivative securities (option pricing, hedging, etc.)
Full Text: DOI arXiv