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Displaying similar documents to “Static Hedging of Barrier Options with a Smile: An Inverse Problem”

An optimal matching problem

Ivar Ekeland (2010)

ESAIM: Control, Optimisation and Calculus of Variations

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Given two measured spaces ( X , μ ) and ( Y , ν ) , and a third space , given two functions  and , we study the problem of finding two maps s : X Z and t : Y Z such that the images s ( μ ) and t ( ν ) coincide, and the integral X u ( x , s ( x ) ) d μ - Y v ( y , t ( y ) ) d ν is maximal. We give condition on and for which there is a unique solution.