Article ID Journal Published Year Pages File Type
1156413 Stochastic Processes and their Applications 2015 13 Pages PDF
Abstract

We establish a nondominated version of the optional decomposition theorem in a setting that includes jump processes with nonvanishing diffusion as well as general continuous processes. This result is used to derive a robust superhedging duality and the existence of an optimal superhedging strategy for general contingent claims. We illustrate the main results in the framework of nonlinear Lévy processes.

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Physical Sciences and Engineering Mathematics Mathematics (General)
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