Soner, H. Mete
- Working Paper
The dual representation of the martingale optimal transport Problem in the Skorokhod space of multi dimensional càdlàg processes is proved. The dual is a minimization problem with constraints involving stochastic integrals and is similar to the Kantorovich dual of the standard optimal Transport problem. The constraints are required to hold for very path in the Skorokhod space. This problem has the financial interpretation as the robust hedging of path dependent European options Show more
Journal / seriesarXiv
Pages / Article No.
Organisational unit03844 - Soner, Mete
NotesSubmitted on 5 April 2014. See also http://e-citations.ethbib.ethz.ch/view/pub:161673.
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