Martingale optimal transport in the Skorokhod space
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Publication:492958
DOI10.1016/j.spa.2015.05.009zbMath1337.91092arXiv1404.1516OpenAlexW1732667205MaRDI QIDQ492958
Yan Dolinsky, Halil Mete Soner
Publication date: 21 August 2015
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1404.1516
Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (31)
Fine properties of the optimal Skorokhod embedding problem ⋮ Canonical supermartingale couplings ⋮ Robust pricing-hedging dualities in continuous time ⋮ Martingale optimal transport duality ⋮ Pathwise superreplication via Vovk's outer measure ⋮ Pathwise superhedging under proportional transaction costs ⋮ Model-Independent Bounds for Asian Options: A Dynamic Programming Approach ⋮ Supermartingale Brenier's theorem with full-marginals constraint ⋮ Robust Framework for Quantifying the Value of Information in Pricing and Hedging ⋮ Constrained optimal transport ⋮ A risk-neutral equilibrium leading to uncertain volatility pricing ⋮ The Riesz representation theorem and weak\(^\ast\) compactness of semimartingales ⋮ Optimal Brownian Stopping When the Source and Target Are Radially Symmetric Distributions ⋮ Pathwise superhedging for time-dependent barrier options on càdlàg paths -- finite or infinite tradeable European, one-touch, lookback or forward starting options ⋮ Structure of optimal martingale transport plans in general dimensions ⋮ Robust hedging of options on a leveraged exchange traded fund ⋮ Monotonicity preserving transformations of MOT and SEP ⋮ Tightness and duality of martingale transport on the Skorokhod space ⋮ Change of numeraire in the two-marginals martingale transport problem ⋮ Duality for pathwise superhedging in continuous time ⋮ Discretisation and duality of optimal Skorokhod embedding problems ⋮ Robust superhedging with jumps and diffusion ⋮ Robust pricing and hedging around the globe ⋮ A quasi-sure optional decomposition and super-hedging result on the Skorokhod space ⋮ Multiperiod martingale transport ⋮ Optimal Skorokhod Embedding Under Finitely Many Marginal Constraints ⋮ Compactness criterion for semimartingale laws and semimartingale optimal transport ⋮ On the Monotonicity Principle of Optimal Skorokhod Embedding Problem ⋮ A Benamou-Brenier formulation of martingale optimal transport ⋮ Model-independent pricing with insider information: a skorokhod embedding approach ⋮ Optimal transport and Skorokhod embedding
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