Cox, Alexander M.G.
Prömel, David J.
- Journal Article
Rights / licenseCreative Commons Attribution 4.0 International
Since Hobson’s seminal paper (Hobson in Finance Stoch. 2:329–347, 1998), the connection between model-independent pricing and the Skorokhod embedding problem has been a driving force in robust finance. We establish a general pricing–hedging duality for financial derivatives which are susceptible to the Skorokhod approach. Using Vovk’s approach to mathematical finance, we derive a model-independent superreplication theorem in continuous time, given information on finitely many marginals. Our result covers a broad range of exotic derivatives, including lookback options, discretely monitored Asian options, and options on realized variance Show more
Journal / seriesFinance and Stochastics
Pages / Article No.
SubjectModel-Independent Pricing; Optimal Transport; Skorokhod Embedding; Super-Replication Theorem; Vovk’s Outer Measure
Organisational unit03845 - Teichmann, Josef / Teichmann, Josef
163014 - Regularity structures in mathematical Finance (SNF)
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