Martingale optimal transport in the Skorokhod space
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Publication:492958
DOI10.1016/J.SPA.2015.05.009zbMATH Open1337.91092arXiv1404.1516OpenAlexW1732667205MaRDI QIDQ492958FDOQ492958
Authors: Yan Dolinsky, H. Mete Soner 
Publication date: 21 August 2015
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/1404.1516
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Derivative securities (option pricing, hedging, etc.) (91G20) Martingales with continuous parameter (60G44)
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