Dolinsky, Yan; Soner, Halil Mete - 2013
martingale optimal transport problem is proved. The financial market is modeled through a risky asset whose price is only assumed … given, fi xed maturity. The dual is a Monge-Kantorovich type martingale transport problem of maximizing the expected value … of the option over all martingale measures that has the given marginal at maturity. In addition to duality, a family of …