Martingale optimal transport in the Skorokhod space
AbstractThe dual representation of the martingale optimal transport problem in the Skorokhod space of multi dimensional c?adl?ag 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 ?nancial interpretation as the robust hedging of path dependent European options.
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Date of creation: Apr 2014
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