Infinite-dimensional linear programming and model-independent hedging of contingent claims
We consider model-independent pathwise hedging of contingent claims in discrete-time markets, in the framework of infinite-dimensional linear programmes (LP). The dual problem can be formulated as optimization over the set of martingale measures subject to market constraints. Absence of model-indepe...
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Imperial College London
2017
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| Online Access: | https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.745261 |