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}
}
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
On robust pricing-hedging duality in continuous time
Robust pricing–hedging dualities in continuous time
Robust Pricing and Hedging around the Globe
Duality for pathwise superhedging in continuous time
Model-independent superhedging under portfolio constraints
Duality Formulas for Robust Pricing and Hedging in Discrete Time
Pointwise Arbitrage Pricing Theory in Discrete Time
...
1
2
3
4
5
...

References

SHOWING 1-10 OF 42 REFERENCES
Robust Hedging of Barrier Options
Model-independent hedging strategies for variance swaps
Robust pricing and hedging of double no-touch options
Robust Hedging of Double Touch Barrier Options
Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
Robust hedging of the lookback option
  • D. Hobson
  • Economics, Computer Science
  • Finance Stochastics
  • 1998
...
1
2
3
4
5
...