Abstract
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 language | English (US) |
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Article number | 6 |
Journal | Probability, Uncertainty and Quantitative Risk |
Volume | 5 |
DOIs | |
State | Published - Jan 2020 |
All Science Journal Classification (ASJC) codes
- Statistics and Probability
- Applied Mathematics
- Statistics, Probability and Uncertainty
Keywords
- Acceptance set
- model ambiguity
- Optimized certainty equivalent
- Risk measure
- Superhedging
- Volatility uncertainty