Martingale optimal transport in the Skorokhod space (Q492958)
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scientific article
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| English | Martingale optimal transport in the Skorokhod space |
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Martingale optimal transport in the Skorokhod space (English)
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21 August 2015
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The authors develop a duality for the super-replication price of an exotic option and the optimal transport problem. In particular the superhedging of derivatives by means of static investment in a set of exotic options and the dynamic investment in the existing stocks may be achieved at a minimum price which equals the maximum expected value of the option payoff computed with respect to the set of martingale measures on the set of càdlàg processes. The proof is achieved via discretization and convergence.
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model-free hedging
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martingale optimal transport
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Skorokhod space
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