Martingale Optimal Transport in the Skorokhod Space
نویسنده
چکیده
The dual representation of the martingale optimal transport problem in the Skorokhod space of multi dimensional càdlàg processes is proved. The dual is a minimization problem with constraints involving stochastic integrals and is similar to the Kantorovich dual of the standard optimal transport problem. The constraints are required to hold for very path in the Skorokhod space. This problem has the financial interpretation as the robust hedging of path dependent European options.
منابع مشابه
Tightness and duality of martingale transport on the Skorokhod space *
The martingale optimal transport aims to optimally transfer a probability measure to another along the class of martingales. This problem is mainly motivated by the robust superhedging of exotic derivatives in financial mathematics, which turns out to be the corresponding Kantorovich dual. In this paper we consider the continuoustime martingale transport on the Skorokhod space of càdlàg paths. ...
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تاریخ انتشار 2014