Efficient hedging under ambiguity in continuous time

Research output: Contribution to journalArticlepeer-review


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.

Original languageEnglish (US)
Article number6
JournalProbability, Uncertainty and Quantitative Risk
StatePublished - Jan 2020
Externally publishedYes

All Science Journal Classification (ASJC) codes

  • Applied Mathematics
  • Statistics and Probability
  • Statistics, Probability and Uncertainty


  • Acceptance set
  • Optimized certainty equivalent
  • Risk measure
  • Superhedging
  • Volatility uncertainty
  • model ambiguity


Dive into the research topics of 'Efficient hedging under ambiguity in continuous time'. Together they form a unique fingerprint.

Cite this