# Martingale optimal transport and robust hedging in continuous time

## Author(s): Dolinsky, Y; Soner, H Mete

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DC FieldValueLanguage
dc.contributor.authorDolinsky, Y-
dc.contributor.authorSoner, H Mete-
dc.date.accessioned2021-10-11T14:18:06Z-
dc.date.available2021-10-11T14:18:06Z-
dc.date.issued2013-01-01en_US
dc.identifier.citationDolinsky, Y, Soner, HM. (2013). Martingale optimal transport and robust hedging in continuous time. Probability Theory and Related Fields, 160 (1-2), 391 - 427. doi:10.1007/s00440-013-0531-yen_US
dc.identifier.issn0178-8051-
dc.identifier.urihttp://arks.princeton.edu/ark:/88435/pr1gk4n-
dc.description.abstract© 2013, Springer-Verlag Berlin Heidelberg. The duality between the robust (or equivalently, model independent) hedging of path dependent European options and a martingale optimal transport problem is proved. The financial market is modeled through a risky asset whose price is only assumed to be a continuous function of time. The hedging problem is to construct a minimal super-hedging portfolio that consists of dynamically trading the underlying risky asset and a static position of vanilla options which can be exercised at the given, fixed maturity. The dual is a Monge–Kantorovich type martingale transport problem of maximizing the expected value of the option over all martingale measures that have a given marginal at maturity. In addition to duality, a family of simple, piecewise constant super-replication portfolios that asymptotically achieve the minimal super-replication cost is constructed.en_US
dc.format.extent391 - 427en_US
dc.language.isoen_USen_US
dc.relation.ispartofProbability Theory and Related Fieldsen_US
dc.rightsAuthor's manuscripten_US
dc.titleMartingale optimal transport and robust hedging in continuous timeen_US
dc.typeJournal Articleen_US
dc.identifier.doidoi:10.1007/s00440-013-0531-y-
pu.type.symplectichttp://www.symplectic.co.uk/publications/atom-terms/1.0/journal-articleen_US

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