Robust pricing and hedging around the globe
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Publication:2299582
Abstract: We consider the martingale optimal transport duality for c`adl`ag processes with given initial and terminal laws. Strong duality and existence of dual optimizers (robust semi-static superhedging strategies) are proved for a class of payoffs that includes American, Asian, Bermudan, and European options with intermediate maturity. We exhibit an optimal superhedging strategy for which the static part solves an auxiliary problem and the dynamic part is given explicitly in terms of the static part.
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Cited in
(13)- Transport plans with domain constraints
- A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options
- Robust estimation of superhedging prices
- On optimal super-hedging and sub-hedging strategies
- Martingale optimal transport and robust hedging in continuous time
- Robust hedging with proportional transaction costs
- Robust price bounds for the forward starting straddle
- Robust pricing and hedging of options on multiple assets and its numerics
- Martingale transport with homogeneous stock movements
- Tightness and duality of martingale transport on the Skorokhod space
- Change of numeraire in the two-marginals martingale transport problem
- On the robust superhedging of measurable claims
- Robust superhedging with jumps and diffusion
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