Martingale optimal transport and robust hedging in continuous time

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Author
Dolinsky, Yan
Soner, H. Mete
Date
2014
Type
  • Journal Article
Publication status
published
External links
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Journal / series
Probability theory and related fields
Volume
160(1-2)
Pages / Article No.
391 - 427
Publisher
Springer
Subject
European options; Robust hedging; Min–max theorems; Prokhorov metric; Optimal transport
Organisational unit
03844 - Soner, Mete  
Notes
Received 17 October 2012, Revised 1 September 2013, Published online 8 October 2013.
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Citations
Cited 45 times in Web of Science
ETH Bibliography
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