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Martingale Optimal Transport and Robust Hedging in Continuous Time · Study

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PreprintMartingale Optimal Transport and Robust Hedging in Continuous Time

Yan Dolinsky2013

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Preprintgreen2013

Martingale Optimal Transport and Robust Hedging in Continuous Time

Yan Dolinsky · Halil Mete Soner

54 citations·0/0 files stored·SSRN Electronic Journal

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Stochastic processes and financial applications Geometric Analysis and Curvature Flows Risk and Portfolio Optimization

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References

2008A General Version of the Fundamental Theorem of Asset Pricing (1994)1994A general version of the fundamental theorem of asset pricing 1995Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market 2011Wellposedness of second order backward SDEs 1998Robust hedging of the lookback option 2010The Skorokhod Embedding Problem and Model-Independent Bounds for Option Prices 2001Robust Hedging of Barrier Options 2013Dual formulation of second order target problems

Cited by

2015Martingale optimal transport in the Skorokhod space 2014Superreplication under model uncertainty in discrete time 2014Martingale inequalities and deterministic counterparts 2015Linking Vanillas and VIX Options: A Constrained Martingale Optimal Transport Problem 2017Pathwise superreplication via Vovk’s outer measure 2016Change of numeraire in the two-marginals martingale transport problem

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Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2015Martingale optimal transport in the Skorokhod spacearticle · 10 shared references 2018Robust pricing–hedging dualities in continuous timearticle · 7 shared references 2017Model-free superhedging dualityarticle · 7 shared references 2019Pointwise Arbitrage Pricing Theory in Discrete Timearticle · 7 shared references 2015Universal arbitrage aggregator in discrete-time markets under uncertaintyarticle · 7 shared references 2011A Stochastic Control Approach to No-Arbitrage Bounds Given Marginals, with an Application to Lookback Optionspreprint · 7 shared references

Details

Year2013

Typepreprint

Published2013-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations54

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.2139/ssrn.2245481

openalex_workW2004986913

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2012Maximum Maximum of Martingales Given Marginals

2013Robust Hedging with Proportional Transaction Costs