Martingale Inequalities, Optimal Martingale Transport, and Robust Superhedging
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Publication:3465124
DOI10.1051/PROC/201445004zbMATH Open1356.60069OpenAlexW2131717271MaRDI QIDQ3465124
Publication date: 29 January 2016
Published in: ESAIM: Proceedings and Surveys (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1051/proc/201445004
Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Financial applications of other theories (91G80) Research exposition (monographs, survey articles) pertaining to probability theory (60-02)
Cites Work
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- Superreplication under volatility uncertainty for measurable claims
- Pathwise construction of stochastic integrals
- Robust pricing and hedging of double no-touch options
- Making Markov martingales meet marginals: With explicit constructions
- Pathwise inequalities for local time: Applications to Skorokhod embeddings and optimal stopping
- The Skorokhod embedding problem and its offspring
- Robust hedging of the lookback option
- Root's barrier: construction, optimality and applications to variance options
- Arbitrage and duality in nondominated discrete-time models
- An iterated Azéma-Yor type embedding for finitely many marginals
- A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options
- Local martingales, bubbles and option prices
- Robust Hedging of Barrier Options
- Robust Hedging of Double Touch Barrier Options
- ROBUST BOUNDS FOR FORWARD START OPTIONS
- The maximum maximum of a martingale constrained by an intermediate law
Related Items (10)
Fine properties of the optimal Skorokhod embedding problem ⋮ Canonical supermartingale couplings ⋮ Neural network approximation for superhedging prices ⋮ Cautious stochastic choice, optimal stopping and deliberate randomization ⋮ Entropy martingale optimal transport and nonlinear pricing-hedging duality ⋮ Robust bounds for the American put ⋮ Equivalent supermartingale densities and measures in discrete time infinite horizon market models ⋮ Max-plus decomposition of supermartingales and convex order. Application to American options and portfolio insurance ⋮ Robust pricing and hedging around the globe ⋮ Multiperiod martingale transport
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