标题： 无需模型的交易与对冲连续价格路径 显示英文标题

标题： Model-free trading and hedging with continuous price paths

摘要： 在本文中，我们提供了一种衍生品声明动态对冲范式的模型无关扩展。 我们将模型无关的复制策略与具有显式形式的局部鞅相关联，我们可以利用耦合偏微分方程的解来对其进行表征。 我们提供了一个通用框架，然后将其应用于没有交易声明的市场、具有基础资产和凸声明的市场以及具有基础资产和一组到期日相同的看涨期权的市场。 结果涵盖了已知的模型无关恒等式的例子，并提供了一种推导新恒等式的方法。 显示英文摘要

摘要： In this paper, we provide a model-independent extension of the paradigm of dynamic hedging of derivative claims. We relate model-independent replication strategies to local martingales having a closed form which we can characterise via solutions of coupled PDEs. We provide a general framework and then apply it to a market with no traded claims, a market with an underlying asset and a convex claim and a market with an underlying asset and a set of co-maturing call options. The results encompass known examples of model-independent identities and provide a methodology for deriving new identities.