Robust hedging and pathwise calculus

Details Robust hedging and pathwise calculus Robust hedging and pathwise calculus

2011-10-24

arxiv.org/abs/1110.5202v3

Mathematics

Probability

Scientific paper

We study the connections of two different pathwise hedging approaches. These
approaches are BSV by Bender-Sottinen-Valkeila and CF by Cont-Fourni\'e. We
prove that both approaches give the same pathwise hedges, whenever both of the
strategies exist. We also prove BSV type robust replication result for CF
strategies.

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