英文标题：
《Duality formulas for robust pricing and hedging in discrete time》
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作者：
Patrick Cheridito, Michael Kupper and Ludovic Tangpi
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最新提交年份：
2017
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英文摘要：
In this paper we derive robust super- and subhedging dualities for contingent claims that can depend on several underlying assets. In addition to strict super- and subhedging, we also consider relaxed versions which, instead of eliminating the shortfall risk completely, aim to reduce it to an acceptable level. This yields robust price bounds with tighter spreads. As examples we study strict super- and subhedging with general convex transaction costs and trading constraints as well as risk-based hedging with respect to robust versions of the average value at risk and entropic risk measure. Our approach is based on representation results for increasing convex functionals and allows for general financial market structures. As a side result it yields a robust version of the fundamental theorem of asset pricing.
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中文摘要：
在本文中，我们推导了可依赖于多个标的资产的未定权益的鲁棒超边对偶和次边对偶。除了严格的超边缘和分边缘外，我们还考虑放宽版本，其目的不是完全消除短缺风险，而是将其降低到可接受的水平。这就产生了强劲的价格边界和更紧密的价差。作为例子，我们研究了一般凸交易成本和交易约束下的严格超边缘和分边缘，以及基于风险的套期保值，涉及稳健版本的平均风险值和熵风险度量。我们的方法基于增加凸泛函的表示结果，并考虑了一般金融市场结构。作为一个附带结果，它产生了资产定价基本定理的一个健壮版本。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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