A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options

DOI10.1214/13-AAP925zbMath1285.49012arXiv1401.3921MaRDI QIDQ2443194

Alfred Galichon, Pierre Henry-Labordère, Nizar Touzi

Publication date: 4 April 2014

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1401.3921

zbMATH Keywords

optimal controlstochastic controlconvex dualityoptimal transportationcontinuous martingalevolatility uncertaintysuperhedginglookback options

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Diffusion processes (60J60) Financial applications of other theories (91G80) Diffusion processes and stochastic analysis on manifolds (58J65) Duality theory (optimization) (49N15) Optimality conditions for problems involving randomness (49K45) Existence of optimal solutions to problems involving randomness (49J55)

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