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Martingale optimal transport and robust hedging in continuous time
The duality between the robust (or equivalently, model independent) hedging of path dependent European options and a martingale optimal transport problem is proved. The financial market is modeledExpand
Martingale optimal transport in the Skorokhod space
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 constraintsExpand
Robust hedging with proportional transaction costs
A duality for robust hedging with proportional transaction costs of path-dependent European options is obtained in a discrete-time financial market with one risky asset. Expand
Duality and convergence for binomial markets with friction
We prove limit theorems for the super-replication cost of European options in a binomial model with friction. Expand
Approximating Stochastic Volatility by Recombinant Trees
A general method to construct recombinant tree approximations for stochastic volatility models is developed and applied to the Heston model for stock price dynamics. In this application, theExpand
Numerical schemes for G-Expectations
We consider a discrete time analog of $G$-expectations and we prove that in the case where the time step goes to zero the corresponding values converge to the original $G$-expectation. Furthermore weExpand
Hedging with risk for game options in discrete time
We study the problems of efficient hedging of game (Israeli) options when the initial capital in the portfolio is less than the fair option price. In this case a perfect hedging is impossible and oneExpand
Hedging of Game Options under Model Uncertainty in Discrete Time
We introduce a setup of model uncertaintyin discrete time. In this setup wederive dual expressions for the super-replication prices of game options with upper semicontinuous payoffs. We show that theExpand
Continuity of Utility Maximization under Weak Convergence
In this paper we find tight sufficient conditions for the continuity of the value of the utility maximization problem from terminal wealth with respect to the convergence in distribution of theExpand
Applications of weak convergence for hedging of game options
In this paper we consider Dynkin's games with payoffs which are functions of an underlying process. Assuming extended weak convergence of underlying processes $\{S^{(n)}\}_{n=0}^{\infty}$ to a limitExpand