Abstract
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 Itô’s lemma that applies to non-smooth functionals (of càdlàg processes) which are concave in space and nonincreasing in time, in the sense of Dupire.
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