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Efficient hedging under ambiguity in continuous time

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  • Ludovic Tangpi

Abstract

It is well known that the minimal superhedging price of a contingent claim is too high for practical use. In a continuous-time model uncertainty framework, we consider a relaxed hedging criterion based on acceptable shortfall risks. Combining existing aggregation and convex dual representation theorems, we derive duality results for the minimal price on the set of upper semicontinuous discounted claims.

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  • Ludovic Tangpi, 2018. "Efficient hedging under ambiguity in continuous time," Papers 1812.10876, arXiv.org, revised Mar 2019.
    • Handle: RePEc:arx:papers:1812.10876
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    References listed on IDEAS

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    9. repec:dau:papers:123456789/342 is not listed on IDEAS
    10. Patrick Cheridito & Michael Kupper & Ludovic Tangpi, 2016. "Duality formulas for robust pricing and hedging in discrete time," Papers 1602.06177, arXiv.org, revised Sep 2017.
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