Martingale optimal transport in the Skorokhod space
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Abstract: The dual representation of the martingale optimal transport problem in the Skorokhod space of multi dimensional cadlag processes is proved. The dual is a minimization problem with constraints involving stochastic integrals and is similar to the Kantorovich dual of the standard optimal transport problem. The constraints are required to hold for very path in the Skorokhod space. This problem has the financial interpretation as the robust hedging of path dependent European options. In this second version, we included the multi-marginal case.
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- scientific article; zbMATH DE number 3852087 (Why is no real title available?)
- scientific article; zbMATH DE number 3567644 (Why is no real title available?)
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Cited in
(49)- Backward martingale transport and Fitzpatrick functions in pseudo-Euclidean spaces
- Model-Independent Bounds for Asian Options: A Dynamic Programming Approach
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