英文标题：
《Model-independent Superhedging under Portfolio Constraints》
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作者：
Arash Fahim and Yu-Jui Huang
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最新提交年份：
2015
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英文摘要：
In a discrete-time market, we study model-independent superhedging, while the semi-static superhedging portfolio consists of {\\it three} parts: static positions in liquidly traded vanilla calls, static positions in other tradable, yet possibly less liquid, exotic options, and a dynamic trading strategy in risky assets under certain constraints. By considering the limit order book of each tradable exotic option and employing the Monge-Kantorovich theory of optimal transport, we establish a general superhedging duality, which admits a natural connection to convex risk measures. With the aid of this duality, we derive a model-independent version of the fundamental theorem of asset pricing. The notion \"finite optimal arbitrage profit\", weaker than no-arbitrage, is also introduced. It is worth noting that our method covers a large class of Delta constraints as well as Gamma constraint.
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中文摘要：
在离散时间市场中，我们研究模型独立的超边际，而半静态超边际投资组合由{\\it三个}部分组成：流动交易的普通看涨期权中的静态头寸，其他可交易但可能流动性较低的奇异期权中的静态头寸，以及在一定约束条件下风险资产中的动态交易策略。通过考虑每一个可交易的奇异期权的极限指令簿，并利用Monge-Kantorovich最优运输理论，我们建立了一个一般的超边对偶，它允许与凸风险测度有自然联系。借助这种对偶性，我们导出了资产定价基本定理的一个独立于模型的版本。引入了比无套利更弱的“有限最优套利利润”概念。值得注意的是，我们的方法涵盖了一大类Delta约束和Gamma约束。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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