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

Bouchard, B; Tan, XL

Bouchard, B (corresponding author), Univ Paris 09, CNRS, PSL, CEREMADE, Paris, France.

FINANCE AND STOCHASTICS, 2021; 25 (3): 505

Abstract

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 coll......

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