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MODEL-FREE SUPERHEDGING DUALITY

Burzoni, M; Frittelli, M; Maggis, M

Burzoni, M (reprint author), Swiss Fed Inst Technol, Dept Math, Ramistr 101, CH-8092 Zurich, Switzerland.

ANNALS OF APPLIED PROBABILITY, 2017; 27 (3): 1452

Abstract

In a model-free discrete time financial market, we prove the superhedging duality theorem, where trading is allowed with dynamic and semistatic strate......

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