Martingale optimal transport in the Skorokhod space
By Yan Dolinsky, H. M. Soner. 2014
66 citations recorded by the source corpus.
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 every path in the Skorokhod space. This problem has the financial interpretation as the robust hedging of path dependent European options.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/9937a297df4d34004d36ba5b35805bb5bb7c5b6d
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In Economics and Econometrics
- Bruno Bouchard
- Marcel Nutz
- Nizar Touzi
- Sara Biagini
- Mathias Beiglbock
- Constantinos Kardaras
- Alexander M. G. Cox
- Martin Huesmann
In Finance
- Marcel Nutz
- Bruno Bouchard
- Nizar Touzi
- Mathias Beiglbock
- Sara Biagini
- Martin Huesmann
- Constantinos Kardaras
- Daniel Bartl
Citations in the corpus
- Complete Duality for Martingale Optimal Transport on the Line (2015, background): “, [1, 8, 12, 13, 14, 19, 33] for models in discrete time and [6, 10, 15, 17, 18, 21, 22, 29, 31, 32, 35, 37] for continuous-time models.”
- Structure of optimal martingale transport plans in general dimensions (2015, unknown): “The dynamic case have been also studied by Galichon-Henri-Labordere-Touzi [14] and Dolinsky–Soner [10, 11].”
- ROBUST FUNDAMENTAL THEOREM FOR CONTINUOUS PROCESSES (2014, background): “A related setting is considered in Dolinsky and Soner (2014a) where S is the canonical process in the space of continuous paths.”
- Optimal transport and Skorokhod embedding (2013, result): “In particular, using Hobson’s time change argument ([25, 26]), Theorem 5.2 is comparable to the work of Dolinsky and Soner [18, 17].”
- Model-free superhedging duality (2015, unknown): “The reformulation of the superhedging duality in the framework of optimal mass transport led to important results both in discrete and continuous time as in [3, 11, 12, 14, 15, 20, 23].”