Martingale Inequalities, Optimal Martingale Transport, and Robust Superhedging
نویسندگان
چکیده
منابع مشابه
Martingale optimal transport and robust hedging
The martingale optimal transport problem is motivated by model-independent bounds for the pricing and hedging exotic options. In the simplest one-period model, the dual formulation of the robust superhedg-ing cost differs from the standard optimal transport problem by the presence of a martingale constraint on the set of coupling measures. The one-dimensional Brenier theorem has a natural exten...
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ژورنال
عنوان ژورنال: ESAIM: Proceedings and Surveys
سال: 2014
ISSN: 2267-3059
DOI: 10.1051/proc/201445004