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