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Article Dans Une Revue Finance and Stochastics Année : 2021

A quasi-sure optional decomposition and super-hedging result on the Skorokhod space

Résumé

We prove a robust super-hedging duality result for path-dependent options on assets with jumps, in a continuous time setting. It requires that the collection of martingale measures is rich enough and that the payoff function satisfies some continuity property. It is a by-product of a quasi-sure version of the optional decomposition theorem, which can also be viewed as a functional version of Itô's Lemma, that applies to non-smooth functionals (of càdlàg processes) which are only concave in space and non-increasing in time, in the sense of Dupire.
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Dates et versions

hal-02551108 , version 1 (22-04-2020)

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Bruno Bouchard, Xiaolu Tan. A quasi-sure optional decomposition and super-hedging result on the Skorokhod space. Finance and Stochastics, 2021, 25, pp.505-528. ⟨10.1007/s00780-021-00458-3⟩. ⟨hal-02551108⟩
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