Dual Attainment in Multi-Period Multi-Asset Martingale Optimal Transport and Its Computation

By Charlie Che, Tongseok Lim, Yue Sun

Published 2026-02-04

Everscope rating

1949.2

Relevance to quantitative trading

8 / 10

Implementation complexity

8 / 10

Reproducibility

3 / 5

About this paper

Methodology: Dual Attainment Proof via Approximating Dual Maximizers and PDLP Numerical Validation. Problem types: Optimization, Risk Management, Robust Pricing and Hedging, Model Calibration, Linear Programming.

arXiv:2602.02996 · Paper rankings

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