Martingale Optimal Transport in the Skorokhod Space
Martingale Optimal Transport in the Skorokhod Space
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Skorokhod 空间中的 Martingale 最优传输
DOI：
10.2139/ssrn.2512292
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发表时间：
2014
期刊：
影响因子：
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通讯作者：
H. Soner
中科院分区：
文献类型：
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作者：
Y. Dolinsky;H. Soner
证明了多维cadlag过程的鞅最优运输问题在Skorokhod空间中的对偶表示。对偶是一个最小化问题的约束，涉及随机积分，是类似于标准的最优运输问题的Kantorovich对偶。要求约束对Skorokhod空间中的每条路径都成立。这个问题的金融解释为路径依赖的欧式期权的鲁棒套期保值。
The dual representation of the martingale optimal transport problem in the Skorokhod space of multi dimensional cadlag processes is proved. The dual is a minimization problem with constraints involving stochastic integrals and is similar to the Kantorovich dual of the standard optimal transport problem. The constraints are required to hold for every path in the Skorokhod space. This problem has the financial interpretation as the robust hedging of path dependent European options.