Martingale Inequalities, Optimal Martingale Transport, and Robust Superhedging
DOI10.1051/PROC/201445004zbMATH Open1356.60069OpenAlexW2131717271MaRDI QIDQ3465124FDOQ3465124
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
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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)
Cites Work
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Cited In (11)
- Fine properties of the optimal Skorokhod embedding problem
- Cautious stochastic choice, optimal stopping and deliberate randomization
- Max-plus decomposition of supermartingales and convex order. Application to American options and portfolio insurance
- Equivalent supermartingale densities and measures in discrete time infinite horizon market models
- Robust bounds for the American put
- Canonical supermartingale couplings
- Neural network approximation for superhedging prices
- Robust pricing and hedging around the globe
- Multiperiod martingale transport
- The minimum maximum of a continuous martingale with given initial and terminal laws
- Entropy martingale optimal transport and nonlinear pricing-hedging duality
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