Martingale Inequalities, Optimal Martingale Transport, and Robust Superhedging

DOI10.1051/PROC/201445004zbMATH Open1356.60069OpenAlexW2131717271MaRDI QIDQ3465124FDOQ3465124

Authors 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

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

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Cites work

• scientific article; zbMATH DE number 1210407 (Why is no real title available?)
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• Making Markov martingales meet marginals: With explicit constructions
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• Robust hedging of barrier options.
• Robust hedging of double touch barrier options
• Robust hedging of the lookback option
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• Root's barrier: construction, optimality and applications to variance options
• Superreplication under volatility uncertainty for measurable claims
• The Skorokhod embedding problem and its offspring
• The maximum maximum of a martingale constrained by an intermediate law

Cited in

(16)

• Max-plus decomposition of supermartingales and convex order. Application to American options and portfolio insurance
• Fine properties of the optimal Skorokhod embedding problem
• Robust pricing and hedging around the globe
• Multiperiod martingale transport
• Cautious stochastic choice, optimal stopping and deliberate randomization
• Equivalent supermartingale densities and measures in discrete time infinite horizon market models
• Canonical supermartingale couplings
• Martingale optimal transport and robust hedging in continuous time
• Martingale inequalities for the maximum via pathwise arguments
• Entropy martingale optimal transport and nonlinear pricing-hedging duality
• Neural network approximation for superhedging prices
• A trajectorial interpretation of Doob's martingale inequalities
• The maximum maximum of a martingale with given \(n\) marginals
• Robust bounds for the American put
• Martingale inequalities and deterministic counterparts
• The minimum maximum of a continuous martingale with given initial and terminal laws

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