Robust Hedging for Multi--Asset Markets with Jumps.

Stochastic Analysis Seminar Series

Abstract: In this paper we consider robust hedging in continuous time,for a case where the risky asset is right continuous with left hand limits (cadlag process). We prove the duality between the robust hedging of path dependent European options and amartingale optimal transport on the space of cadlag functions. In addition to duality, a family of simple, piecewise constant super-replication portfolios that asymptotically achieve  the minimal super-replication cost is constructed. This paper is a continuation of our previous work (jointly with Mete Soner), where we assumed that the risky asset is a continuous process.In this paper we allow the risky asset to have jumps, and so the treatment of this case requires a new machinery.

(joint work with Mete Soner).

Location:
Speaker(s):

YAN DOLINSKY

Date:
Monday, February 17, 2014 - 14:45
to 16:45