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 |
Externally published | Yes |
All Science Journal Classification (ASJC) codes
- Statistics and Probability
- Statistics, Probability and Uncertainty
- Applied Mathematics
Keywords
- Acceptance set
- Optimized certainty equivalent
- Risk measure
- Superhedging
- Volatility uncertainty
- model ambiguity