Martingale Optimal Transport with Stopping
Martingale Optimal Transport with Stopping
We solve the martingale optimal transport problem for cost functionals represented by optimal stopping problems. The measure-valued martingale approach developed in [A. M. G. Cox and S. Kallblad. Model-independent bounds for Asian options: a dynamic programming approach. SIAM Journal on Control and Optimization, 55(6):3409–3436, 2017.] allows us to obtain an …