Duality formulas for robust pricing and hedging in discrete time

Business & Economics

• Duality 83%
• Discrete-time 77%
• Hedging 70%
• Pricing 51%
• Value at Risk 41%
• Fundamental Theorem of Asset Pricing 30%
• Shortfall Risk 28%
• Transaction Costs 27%
• Contingent Claims 22%
• Risk Measures 19%
• Market Structure 17%
• Assets 11%

Mathematics

• Hedging 100%
• Pricing 84%
• Discrete-time 62%
• Duality 61%
• Fundamental Theorem of Asset Pricing 32%
• Transaction Costs 27%
• Contingent Claims 26%
• Value at Risk 25%
• Risk Measures 23%
• Market 19%

Engineering & Materials Science

• Costs 29%