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A multi-marginal c-convex duality theorem for martingale optimal transport

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  • Sester, Julian

Abstract

A convex duality result for martingale optimal transport problems with two marginals was established in Beiglböck et al. (2013). In this paper we provide a generalization of this result to the multi-period setting.

Suggested Citation

  • Sester, Julian, 2024. "A multi-marginal c-convex duality theorem for martingale optimal transport," Statistics & Probability Letters, Elsevier, vol. 210(C).
    • Handle: RePEc:eee:stapro:v:210:y:2024:i:c:s0167715224000816
    DOI: 10.1016/j.spl.2024.110112
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    References listed on IDEAS

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    1. Stephan Eckstein & Michael Kupper, 2019. "Martingale transport with homogeneous stock movements," Papers 1908.10242, arXiv.org, revised May 2021.
    2. Aurélien Alfonsi & Jacopo Corbetta & Benjamin Jourdain, 2019. "Sampling Of One-Dimensional Probability Measures In The Convex Order And Computation Of Robust Option Price Bounds," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(03), pages 1-41, May.
    3. Gaoyue Guo & Jan Obloj, 2017. "Computational Methods for Martingale Optimal Transport problems," Papers 1710.07911, arXiv.org, revised Apr 2019.
    4. Anna Aksamit & Shuoqing Deng & Jan Obłój & Xiaolu Tan, 2019. "The robust pricing–hedging duality for American options in discrete time financial markets," Mathematical Finance, Wiley Blackwell, vol. 29(3), pages 861-897, July.
    5. Stephan Eckstein & Michael Kupper, 2021. "Martingale transport with homogeneous stock movements," Quantitative Finance, Taylor & Francis Journals, vol. 21(2), pages 271-280, February.
    6. Julian Sester, 2020. "Robust Bounds For Derivative Prices In Markovian Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 23(03), pages 1-39, May.
    7. Pierre Henry-Labordère, 2013. "Automated Option Pricing: Numerical Methods," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 16(08), pages 1-27.
    8. Mathias Beiglböck & Pierre Henry-Labordère & Friedrich Penkner, 2013. "Model-independent bounds for option prices—a mass transport approach," Finance and Stochastics, Springer, vol. 17(3), pages 477-501, July.
    9. Mathias Beiglbock & Pierre Henry-Labord`ere & Friedrich Penkner, 2011. "Model-independent Bounds for Option Prices: A Mass Transport Approach," Papers 1106.5929, arXiv.org, revised Feb 2013.
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