%0 Journal Article
%T Model-free Superhedging Duality
%A Matteo Burzoni
%A Marco Frittelli
%A Marco Maggis
%J Quantitative Finance
%D 2015
%I arXiv
%X In a model free discrete time financial market, we prove the superhedging duality theorem, where trading is allowed with dynamic and semi-static strategies. We also show that the initial cost of the cheapest portfolio that dominates a contingent claim on every possible path $\omega \in \Omega$, might be strictly greater than the upper bound of the no-arbitrage prices. We therefore characterize the subset of trajectories on which this duality gap disappears and prove that it is an analytic set.
%U http://arxiv.org/abs/1506.06608v2