Pathwise superreplication via Vovk's outer measure

Mathias Beiglboeck, Alexander M. G. Cox, Martin Huesmann, Nicolas Perkowski, David J. Prömel

Research output: Contribution to journalArticlepeer-review

20 Citations (SciVal)


Since Hobson's seminal paper [D. Hobson: Robust hedging of the lookback option. In: Finance Stoch. (1998)] the connection between model-independent pricing and the Skorokhod embedding problem has been a driving force in robust finance. We establish a general pricing-hedging duality for financial derivatives which are susceptible to the Skorokhod approach. Using Vovk's approach to mathematical finance we derive a model-independent super-replication theorem in continuous time, given information on finitely many marginals. Our result covers a broad range of exotic derivatives, including lookback options, discretely monitored Asian options, and options on realized variance.
Original languageEnglish
Pages (from-to)1141–1166
Number of pages26
JournalFinance and Stochastics
Issue number4
Publication statusPublished - 1 Oct 2017


  • q-fin.MF
  • math.PR
  • q-fin.PR
  • Primary: 60G44, 91G20, 91B24, Secondary: 60G42


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