Robust Pricing and Hedging around the Globe


We study the martingale optimal transport duality for càdlàg processes with given initial and terminal laws. Strong duality and existence of dual optimizers (robust semi-static superhedging strategies) are proved for a class... [ view full abstract ]


  1. Sebastian Herrmann (University of Michigan)
  2. Florian Stebegg (Columbia University)

Topic Areas

Hedging , Optimal Transport , Robustness


MO-A-DA » Optimal Martingale Transport (11:30 - Monday, 16th July, Davis)

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