# Efficient hedging under ambiguity in continuous time

## TL;DR

This paper develops a duality framework for pricing and hedging in continuous-time models under ambiguity, focusing on acceptable shortfall risks to provide more practical superhedging prices.

## Contribution

It introduces a relaxed hedging criterion under model uncertainty and derives duality results for minimal prices of upper semicontinuous claims.

## Key findings

- Duality results for minimal superhedging prices under ambiguity
- A relaxed hedging criterion based on acceptable shortfall risks
- Application to upper semicontinuous discounted claims

## Abstract

It is well known that the minimal superhedging price of a contingent claim is too high for practical use. In a continuous-time model uncertainty framework, we consider a relaxed hedging criterion based on acceptable shortfall risks. Combining existing aggregation and convex dual representation theorems, we derive duality results for the minimal price on the set of upper semicontinuous discounted claims.