Martingale Inequalities, Optimal Martingale Transport, and Robust Superhedging

DOI10.1051/PROC/201445004zbMATH Open1356.60069OpenAlexW2131717271MaRDI QIDQ3465124

Nizar Touzi

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

zbMATH Keywords

Skorokhod embedding problemmartingale inequalitiesrobust hedging problem

Mathematics Subject Classification ID

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

• Unnamed Item
• A model-free no-arbitrage price bound for variance options
• 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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