论文标题
skorokhod空间上的准纯粹的可选分解和超围栏结果
A quasi-sure optional decomposition and super-hedging result on the Skorokhod space
论文作者
论文摘要
我们证明，在连续的时间设置中，在跳跃的资产上，与路径依赖的选项相关的二元性结果。它要求收集Martingale措施足够丰富，并且收益功能满足某些连续性的属性。它是可选分解理论的准版本的副产品，也可以将其视为其功能性版本{promooth {à} dl {à} g过程（仅在空间和非启动）中，适用于c {à} dl {à} g过程（c {à} dl {à} g过程）的非平滑函数。
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 collection of martingale measures is rich enough and that the payoff function satisfies some continuity property. It is a by-product of a quasi-sure version of the optional decomposition theorem, which can also be viewed as a functional version of It{ô}'s Lemma, that applies to non-smooth functionals (of c{à}dl{à}g processes) which are only concave in space and non-increasing in time, in the sense of Dupire.
