Pathwise superhedging on prediction sets
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DOI: 10.1007/s00780-019-00412-4
Abstract: In this paper, we provide a pricing–hedging duality for the model-independent superhedging price with respect to a prediction set Ξ ⊆ C [ 0 , T ] $\Xi \subseteq C[0,T]$ , where the superhedging property… read more here.
Keywords: superhedging prediction; prediction sets; finance; price ... See more keywords