Article ID Journal Published Year Pages File Type
1156167 Stochastic Processes and their Applications 2015 39 Pages PDF
Abstract

The dual representation of the martingale optimal transport problem in the Skorokhod space of multi dimensional cádlág 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.

Related Topics
Physical Sciences and Engineering Mathematics Mathematics (General)
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