Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1156413 | Stochastic Processes and their Applications | 2015 | 13 Pages |
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Marcel Nutz,