• DOI:10.1007/S00440-013-0531-Y
Corpus ID: 73604227

Martingale optimal transport and robust hedging in continuous time

@article{Dolinsky2012MartingaleOT,
  title={Martingale optimal transport and robust hedging in continuous time},
  author={Y. Dolinsky and H. Soner},
  journal={Probability Theory and Related Fields},
  year={2012},
  volume={160},
  pages={391-427}
}

• Y. Dolinsky, H. Soner
• Published 2012
• Mathematics
• Probability Theory and Related Fields

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 modeled through a risky asset whose price is only assumed to be a continuous function of time. The hedging problem is to construct a minimal super-hedging portfolio that consists of dynamically trading the underlying risky asset and a static position of vanilla options which can be exercised at the given… Expand

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