IDEAS home Printed from https://ideas.repec.org/r/hal/journl/hal-03460952.html

A stochastic control approach to No-Arbitrage bounds given marginals, with an application to Lookback options

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Marcel Nutz & Johannes Wiesel & Long Zhao, 2022. "Limits of Semistatic Trading Strategies," Papers 2204.12251, arXiv.org.
  2. Mario Ghossoub & Jesse Hall & David Saunders, 2023. "Maximum Spectral Measures of Risk with Given Risk Factor Marginal Distributions," Mathematics of Operations Research, INFORMS, vol. 48(2), pages 1158-1182, May.
  3. Alfred Galichon, 2021. "The Unreasonable Effectiveness of Optimal Transport in Economics," Sciences Po Economics Publications (main) hal-03936221, HAL.
  4. Anton Kolotilin & Roberto Corrao & Alexander Wolitzky, 2022. "Persuasion with Non-Linear Preferences," Papers 2206.09164, arXiv.org, revised Aug 2022.
  5. Maximilien Germain & Huyên Pham & Xavier Warin, 2022. "A level-set approach to the control of state-constrained McKean-Vlasov equations: application to renewable energy storage and portfolio selection," Post-Print hal-03498263, HAL.
  6. Bryan Liang & Marcel Nutz & Shunan Sheng & Valentin Tissot-Daguette, 2026. "Bid--Ask Martingale Optimal Transport," Papers 2603.24605, arXiv.org.
  7. Julio Backhoff & Gregoire Loeper & Jan Obloj, 2024. "Geometric Martingale Benamou-Brenier transport and geometric Bass martingales," Papers 2406.04016, arXiv.org, revised Feb 2025.
  8. Purba Banerjee & Srikanth Iyer & Shashi Jain, 2025. "Robust Hedging of path-dependent options using a min-max algorithm," Papers 2511.00781, arXiv.org.
  9. Daniel Owusu Adu & Bahman Gharesifard, 2024. "Robust Matching for Teams," Journal of Optimization Theory and Applications, Springer, vol. 200(2), pages 501-523, February.
  10. Ariel Neufeld & Antonis Papapantoleon & Qikun Xiang, 2023. "Model-Free Bounds for Multi-Asset Options Using Option-Implied Information and Their Exact Computation," Management Science, INFORMS, vol. 69(4), pages 2051-2068, April.
  11. Alexander M. G. Cox & Daniel Hernandez-Hernandez, 2025. "Utility Maximisation with Model-independent Constraints," Papers 2512.24371, arXiv.org.
  12. Tongseok Lim, 2023. "Replication of financial derivatives under extreme market models given marginals," Papers 2307.00807, arXiv.org.
  13. Alessandro Doldi & Marco Frittelli, 2023. "Entropy martingale optimal transport and nonlinear pricing–hedging duality," Finance and Stochastics, Springer, vol. 27(2), pages 255-304, April.
  14. Huy N. Chau & Masaaki Fukasawa & Miklós Rásonyi, 2022. "Super‐replication with transaction costs under model uncertainty for continuous processes," Mathematical Finance, Wiley Blackwell, vol. 32(4), pages 1066-1085, October.
  15. Benjamin Jourdain & Gudmund Pammer, 2023. "An extension of martingale transport and stability in robust finance," Papers 2304.09551, arXiv.org.
  16. Marcel Nutz & Johannes Wiesel & Long Zhao, 2022. "Martingale Schr\"odinger Bridges and Optimal Semistatic Portfolios," Papers 2204.12250, arXiv.org.
  17. David Hobson & Dominykas Norgilas, 2025. "Model-independent upper bounds for the prices of Bermudan options with convex payoffs," Papers 2503.13328, arXiv.org, revised Mar 2025.
  18. Julien Guyon, 2024. "Dispersion-constrained martingale Schrödinger problems and the exact joint S&P 500/VIX smile calibration puzzle," Finance and Stochastics, Springer, vol. 28(1), pages 27-79, January.
  19. Marcel Nutz & Johannes Wiesel & Long Zhao, 2023. "Martingale Schrödinger bridges and optimal semistatic portfolios," Finance and Stochastics, Springer, vol. 27(1), pages 233-254, January.
  20. Julio Backhoff & Gudmund Pammer & Walter Schachermayer, 2025. "The $$L^2$$ L 2 gradient flow of the Bass functional in martingale optimal transport," Mathematics and Financial Economics, Springer, volume 19, number 2, December.
  21. Tongseok Lim, 2023. "Optimal exercise decision of American options under model uncertainty," Papers 2310.14473, arXiv.org, revised Nov 2023.
  22. Wiesel Johannes & Zhang Erica, 2023. "An optimal transport-based characterization of convex order," Dependence Modeling, De Gruyter, vol. 11(1), pages 1-15, January.
  23. Joshua Zoen-Git Hiew & Tongseok Lim & Brendan Pass & Marcelo Cruz de Souza, 2023. "Dimension Reduction in Martingale Optimal Transport: Geometry and Robust Option Pricing," Papers 2309.04947, arXiv.org, revised Jan 2026.
  24. Benjamin Jourdain & Gilles Pagès, 2022. "Convex Order, Quantization and Monotone Approximations of ARCH Models," Journal of Theoretical Probability, Springer, vol. 35(4), pages 2480-2517, December.
  25. Marcel Nutz & Johannes Wiesel & Long Zhao, 2023. "Limits of semistatic trading strategies," Mathematical Finance, Wiley Blackwell, vol. 33(1), pages 185-205, January.
  26. Gaoyue Guo & Xiaolu Tan & Nizar Touzi, 2016. "Optimal Skorokhod embedding under finitely-many marginal constraints," Post-Print hal-01247004, HAL.
  27. Alfred Galichon, 2021. "The Unreasonable Effectiveness of Optimal Transport in Economics," Working Papers hal-03936221, HAL.
  28. Haiyan Liu & Bin Wang & Ruodu Wang & Sheng Chao Zhuang, 2023. "Distorted optimal transport," Papers 2308.11238, arXiv.org, revised May 2025.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.