Martingale optimal transport in the Skorokhod space

Yan Dolinsky; H. Mete Soner

doi:10.1016/j.spa.2015.05.009

Martingale optimal transport in the Skorokhod space

Yan Dolinsky, H. Mete Soner^*

^*Corresponding author for this work

Department of Statistics

Research output: Contribution to journal › Article › peer-review

38 Scopus citations

Abstract

The dual representation of the martingale optimal transport problem in the Skorokhod space of multi dimensional cádlág 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 every path in the Skorokhod space. This problem has the financial interpretation as the robust hedging of path dependent European options.

Original language	English
Pages (from-to)	3893-3931
Number of pages	39
Journal	Stochastic Processes and their Applications
Volume	125
Issue number	10
DOIs	https://doi.org/10.1016/j.spa.2015.05.009
State	Published - 30 Jul 2015

Bibliographical note

Publisher Copyright:
© 2015 Elsevier B.V. All rights reserved.

Keywords

Martingale Optimal Transport
Model-free Hedging
Skorokhod Space

Access to Document

10.1016/j.spa.2015.05.009

Cite this

@article{0e036ce2cfce4e149ad676792a19621a,

title = "Martingale optimal transport in the Skorokhod space",

abstract = "The dual representation of the martingale optimal transport problem in the Skorokhod space of multi dimensional c{\'a}dl{\'a}g 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 every path in the Skorokhod space. This problem has the financial interpretation as the robust hedging of path dependent European options.",

keywords = "Martingale Optimal Transport, Model-free Hedging, Skorokhod Space",

author = "Yan Dolinsky and Soner, {H. Mete}",

year = "2015",

month = jul,

day = "30",

doi = "10.1016/j.spa.2015.05.009",

language = "אנגלית",

volume = "125",

pages = "3893--3931",

journal = "Stochastic Processes and their Applications",

issn = "0304-4149",

publisher = "Elsevier",

number = "10",

}

TY - JOUR

T1 - Martingale optimal transport in the Skorokhod space

AU - Dolinsky, Yan

AU - Soner, H. Mete

PY - 2015/7/30

Y1 - 2015/7/30

N2 - The dual representation of the martingale optimal transport problem in the Skorokhod space of multi dimensional cádlág 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 every path in the Skorokhod space. This problem has the financial interpretation as the robust hedging of path dependent European options.

AB - The dual representation of the martingale optimal transport problem in the Skorokhod space of multi dimensional cádlág 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 every path in the Skorokhod space. This problem has the financial interpretation as the robust hedging of path dependent European options.

KW - Martingale Optimal Transport

KW - Model-free Hedging

KW - Skorokhod Space

UR - http://www.scopus.com/inward/record.url?scp=84938420341&partnerID=8YFLogxK

U2 - 10.1016/j.spa.2015.05.009

DO - 10.1016/j.spa.2015.05.009

M3 - ???researchoutput.researchoutputtypes.contributiontojournal.article???

AN - SCOPUS:84938420341

SN - 0304-4149

VL - 125

SP - 3893

EP - 3931

JO - Stochastic Processes and their Applications

JF - Stochastic Processes and their Applications

IS - 10

ER -

Martingale optimal transport in the Skorokhod space

Abstract

Bibliographical note

Keywords

Access to Document

Other files and links

Fingerprint

Cite this