Martingale Inequalities, Optimal Martingale Transport, and Robust Superhedging*
In the recent literature, martingale inequalities have been emphasized to be induced by pathwise inequalities independently of any reference probability measure on the paths space. This feature is closely related to the problem of robust hedging in financial mathematics...
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| Format: | Article |
| Language: | English |
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EDP Sciences
2014-09-01
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| Series: | ESAIM: Proceedings and Surveys |
| Online Access: | http://dx.doi.org/10.1051/proc/201445004 |