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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.

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