Geometry of vectorial martingale optimal transportations and duality

The theory of Optimal Transport and Martingale Optimal Transport (MOT) were inspired by problems in economics and finance and have flourished over the past decades, making significant advances in theory and practice. MOT considers the problem of pricing and hedging of a financial instrument, referre...

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Bibliographic Details
Published in:	Mathematical programming Vol. 204; no. 1-2; pp. 349 - 383
Main Author:	Lim, Tongseok
Format:	Journal Article
Language:	English
Published:	Berlin/Heidelberg Springer Berlin Heidelberg 01.03.2024 Springer
Subjects:	Calculus of Variations and Optimal Control; Optimization Combinatorics Full Length Paper Hedging (Finance) Investment analysis Mathematical and Computational Physics Mathematical Methods in Physics Mathematics Mathematics and Statistics Mathematics of Computing Numerical Analysis Theoretical 90Bxx 49Kxx 49Jxx 60Gxx 60Dxx Infinite-dimensional linear programming 90Cxx Martingale Duality Dual attainment Optimal transport Extremal correlation structure
ISSN:	0025-5610, 1436-4646
Online Access:	Get full text
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