Martingale Inequalities, Optimal Martingale Transport, and Robust Superhedging

DOI10.1051/proc/201445004zbMath1356.60069OpenAlexW2131717271MaRDI QIDQ3465124

Nizar Touzi

Publication date: 29 January 2016

Published in: ESAIM: Proceedings and Surveys (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1051/proc/201445004

zbMATH Keywords

Skorokhod embedding problemmartingale inequalitiesrobust hedging problem

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Financial applications of other theories (91G80) Research exposition (monographs, survey articles) pertaining to probability theory (60-02)

Related Items (7)

Fine properties of the optimal Skorokhod embedding problem ⋮ Canonical supermartingale couplings ⋮ Neural network approximation for superhedging prices ⋮ Cautious stochastic choice, optimal stopping and deliberate randomization ⋮ Robust bounds for the American put ⋮ Robust pricing and hedging around the globe ⋮ Multiperiod martingale transport

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