Duality for increasing convex functionals with countably many marginal constraints

DOI10.1215/17358787-3750133OpenAlexW3104641433MaRDI QIDQ728009

Ludovic Tangpi, Patrick Cheridito, Daniel Bartl, Michael Kupper

Publication date: 21 December 2016

Published in: Banach Journal of Mathematical Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1509.08988

zbMATH Keywords

Kantorovich dualitytransport problemincreasing convex functionalsmodel-independent financerepresentation results

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Monotone and positive operators on ordered Banach spaces or other ordered topological vector spaces (47H07) Measures and integration on abstract linear spaces (46G12)

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Marginal and Dependence Uncertainty: Bounds, Optimal Transport, and Sharpness ⋮ Canonical supermartingale couplings ⋮ Fatou closedness under model uncertainty ⋮ Martingale optimal transport duality ⋮ Convergence of utility indifference prices to the superreplication price in a multiple‐priors framework ⋮ Constrained optimal transport ⋮ Duality Formulas for Robust Pricing and Hedging in Discrete Time ⋮ A pointwise bipolar theorem ⋮ Efficient hedging under ambiguity in continuous time ⋮ Exponential utility maximization under model uncertainty for unbounded endowments ⋮ On nonlinear expectations and Markov chains under model uncertainty ⋮ Duality for pathwise superhedging in continuous time ⋮ Computation of optimal transport and related hedging problems via penalization and neural networks ⋮ On the quasi-sure superhedging duality with frictions ⋮ Kolmogorov-type and general extension results for nonlinear expectations ⋮ Robust superhedging with jumps and diffusion ⋮ A unified framework for robust modelling of financial markets in discrete time ⋮ Robust Pricing and Hedging of Options on Multiple Assets and Its Numerics

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