Martingale optimal transport and robust hedging in continuous time

DOI10.1007/s00440-013-0531-yzbMath1305.91215arXiv1208.4922OpenAlexW3125330115WikidataQ57635867 ScholiaQ57635867MaRDI QIDQ466902

Yan Dolinsky, Halil Mete Soner

Publication date: 31 October 2014

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1208.4922

zbMATH Keywords

robust hedging European options optimal transport Prokhorov metric min-max theorems

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Portfolio theory (91G10)

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