  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.
