Robust pricing and hedging of options on multiple assets and its numerics

Understand

We consider robust pricing and hedging for options written on multiple assets given market option prices for the individual assets.

• The resulting problem is called the multi-marginal martingale optimal transport problem.
• We propose two numerical methods to solve such problems: using discretisation and linear programming applied to the primal side and using penalisation and deep neural networks optimisation applied to the dual side.
• We prove convergence for our methods and compare their numerical performance.