We study the situation of an investor-producer who can trade on a financial market in continuous time and can transform some assets into others by means of a discrete time production system, in order to price and hedge derivatives on produced goods. This general framework covers the interesting case of an electricity producer who wants to hedge a financial position and can trade commodities which are also inputs for his system. This extends the framework of Bouchard and Nguyen  (2011) to continuous time for concave and bounded production functions . We introduce the flexible concept of conditional sure profit along the idea of the no sure profit condition of Rasonyi (2009) and show that it allows one to provide a closedness property for the set of super-hedgeable claims in a very general  setting. Using standard separation arguments, we then deduce a dual characterization of the latter  .
We study the situation of an agent who can trade on a financial market and can also transform some assets into others by means of a production system, in order to price and hedge derivatives on produced goods. This framework is motivated by the case of an electricity producer who wants to hedge a position on the electricity spot price and can trade commodities which are inputs for his system. This extends the essential results of Bouchard Nguyen Huu (2011) to continuous time markets . We introduce the generic concept of conditional sure profit along the idea of the no sure profit condition of R\`asonyi (2009) . The condition allows one to provide a closedness property for the set of super-hedgeable claims in a very general financial setting. Using standard separation arguments, we then deduce a dual characterization of the latter and provide an application to power futures pricing .
R
investor-producer
agent
R
in continuous time and can
and can also
D
discrete time
R
general framework covers the interesting
framework is motivated by the
R
financial position
position on the electricity spot price
D
also
R
framework of Bouchard and Nguyen
essential results of Bouchard
A
Nguyen Huu
R
for concave and bounded production functions
markets
R
flexible
generic
R
Rasonyi
R\`asonyi
R
and show that it
. The condition
A
financial
A
and provide an application to power futures pricing