科研之友
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摘要
We consider the problem of superhedging under volatility uncertainty for an investor allowed to dynamically trade the underlying asset, and statically trade European call options for all possible strikes with some given maturity. This problem is classically approached by means of the Skorohod Embedding Problem (SEP). Instead, we provide a dual formulation which converts the superhedging problem into a continuous martingale optimal transportation problem. We then show that this formulation allows us to recover previously known results about lookback options. In particular, our methodology induces a new proof of the optimality of Azema-Yor solution of the SEP for a certain class of lookback options. Unlike the SEP technique, our approach applies to a large class of exotics and is suitable for numerical approximation techniques.
- 出版日期2014-2
