Martingale optimal transport and robust hedging in continuous time

Keyphrases

• Continuous-time 100%
• Risky Assets 100%
• Robust Hedging 100%
• Super-replication 100%
• Martingale Optimal Transport 100%
• Piecewise Constant 50%
• Model-independent 50%
• Financial Markets 50%
• Path Dependence 50%
• Continuous Function 50%
• Hedging 50%
• Transport Problem 50%
• European Options 50%
• Static Position 50%
• Hedge Portfolio 50%
• Hedging Problem 50%
• Vanilla Options 50%
• Martingale Transport 50%
• Superhedging 50%
• Martingale Measure 50%
• Replication Cost 50%

Mathematics

• Continuous Time 100%
• Optimal Transport 100%
• Risky Asset 100%
• Continuous Function 50%
• Marginals 50%
• Martingale Measure 50%