Optimal Skorokhod Embedding Under Finitely Many Marginal Constraints

DOI10.1137/15M1025256zbMath1351.60048arXiv1506.04063OpenAlexW2963644125MaRDI QIDQ2818217

Xiaolu Tan, Nizar Touzi, Gaoyue Guo

Publication date: 6 September 2016

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1506.04063

zbMATH Keywords

Brownian motionstopping timeconvex dualityrobust hedgingSkorokhod embeddingmartingale optimal transportmodel-free pricing

Mathematics Subject Classification ID

Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Duality theory (optimization) (49N15)

Related Items (19)

Fine properties of the optimal Skorokhod embedding problem ⋮ Canonical supermartingale couplings ⋮ Some results on Skorokhod embedding and robust hedging with local time ⋮ A dynamic programming approach to distribution-constrained optimal stopping ⋮ Martingale optimal transport duality ⋮ Pathwise superreplication via Vovk's outer measure ⋮ Perturbation analysis of sub/super hedging problems ⋮ Geometry of vectorial martingale optimal transportations and duality ⋮ Supermartingale Brenier's theorem with full-marginals constraint ⋮ On the Root Solution to the Skorokhod Embedding Problem Given Full Marginals ⋮ Optimal Brownian Stopping When the Source and Target Are Radially Symmetric Distributions ⋮ Pathwise superhedging for time-dependent barrier options on càdlàg paths -- finite or infinite tradeable European, one-touch, lookback or forward starting options ⋮ Optimal martingale transport between radially symmetric marginals in general dimensions ⋮ A free boundary characterisation of the root barrier for Markov processes ⋮ An explicit martingale version of the one-dimensional Brenier's theorem with full marginals constraint ⋮ Multiperiod martingale transport ⋮ On the Monotonicity Principle of Optimal Skorokhod Embedding Problem ⋮ Model-independent pricing with insider information: a skorokhod embedding approach ⋮ Optimal transport and Skorokhod embedding

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