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Finance and Stochastics
Published in: Finance and Stochastics 3/2021

14-06-2021

A quasi-sure optional decomposition and super-hedging result on the Skorokhod space

Authors: Bruno Bouchard, Xiaolu Tan

Published in: Finance and Stochastics | Issue 3/2021

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Abstract

We prove a robust super-hedging duality result for path-dependent options on assets with jumps in a continuous-time setting. It requires that the collection of martingale measures is rich enough and that the payoff function satisfies some continuity property. It is a by-product of a quasi-sure version of the optional decomposition theorem, which can also be viewed as a functional version of Itô’s lemma that applies to non-smooth functionals (of càdlàg processes) which are concave in space and nonincreasing in time, in the sense of Dupire.
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Metadata
Title
A quasi-sure optional decomposition and super-hedging result on the Skorokhod space
Authors
Bruno Bouchard
Xiaolu Tan
Publication date
14-06-2021
Publisher
Springer Berlin Heidelberg
Published in
Finance and Stochastics / Issue 3/2021
Print ISSN: 0949-2984
Electronic ISSN: 1432-1122
DOI
https://doi.org/10.1007/s00780-021-00458-3

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