Robust Hedging of path-dependent options using a min-max algorithm

By Purba Banerjee, Srikanth Iyer, Shashi Jain

Published 2025-11-02

Everscope rating

1896.6

Relevance to quantitative trading

8 / 10

Implementation complexity

8 / 10

Reproducibility

3 / 5

About this paper

Methodology: Min-Max Optimization via Modified Martingale Optimal Transport. Problem types: Optimization, Risk Management, Portfolio Optimization, Robust Hedging, Model-Free Pricing.

arXiv:2511.00781 · Paper rankings

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