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Model-independent bounds for option prices—a mass transport approach

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Cited by:

  1. Y. Dolinsky & H. M. Soner, 2014. "Martingale optimal transport in the Skorokhod space," Papers 1404.1516, arXiv.org, revised Feb 2015.
  2. Jie Shen & Yi Shen & Bin Wang & Ruodu Wang, 2019. "Distributional compatibility for change of measures," Finance and Stochastics, Springer, vol. 23(3), pages 761-794, July.
  3. Miklós Rásonyi & Andrea Meireles‐Rodrigues, 2021. "On utility maximization under model uncertainty in discrete‐time markets," Mathematical Finance, Wiley Blackwell, vol. 31(1), pages 149-175, January.
  4. Paolo Di Tella & Martin Haubold & Martin Keller-Ressel, 2017. "Semi-Static and Sparse Variance-Optimal Hedging," Papers 1709.05519, arXiv.org.
  5. Beatrice Acciaio & Martin Larsson & Walter Schachermayer, 2016. "The space of outcomes of semi-static trading strategies need not be closed," Papers 1606.00631, arXiv.org.
  6. Mathias Beiglbock & Marcel Nutz & Nizar Touzi, 2015. "Complete Duality for Martingale Optimal Transport on the Line," Papers 1507.00671, arXiv.org, revised Jun 2016.
  7. Julio Backhoff-Veraguas & Daniel Bartl & Mathias Beiglböck & Manu Eder, 2020. "Adapted Wasserstein distances and stability in mathematical finance," Finance and Stochastics, Springer, vol. 24(3), pages 601-632, July.
  8. Sebastian Herrmann & Johannes Muhle-Karbe, 2017. "Model Uncertainty, Recalibration, and the Emergence of Delta-Vega Hedging," Papers 1704.04524, arXiv.org.
  9. Marcel Nutz & Johannes Wiesel & Long Zhao, 2022. "Limits of Semistatic Trading Strategies," Papers 2204.12251, arXiv.org.
  10. Sebastian Herrmann & Florian Stebegg, 2017. "Robust Pricing and Hedging around the Globe," Papers 1707.08545, arXiv.org, revised Apr 2019.
  11. Michael Kupper & Max Nendel & Alessandro Sgarabottolo, 2023. "Risk measures based on weak optimal transport," Papers 2312.05973, arXiv.org.
  12. Daniel Bartl, 2016. "Exponential utility maximization under model uncertainty for unbounded endowments," Papers 1610.00999, arXiv.org, revised Feb 2019.
  13. Pierre Henry-Labordère & Nizar Touzi, 2016. "An explicit martingale version of the one-dimensional Brenier theorem," Finance and Stochastics, Springer, vol. 20(3), pages 635-668, July.
  14. Ibrahim Ekren & H. Mete Soner, 2016. "Constrained Optimal Transport," Papers 1610.02940, arXiv.org, revised Sep 2017.
  15. Erhan Bayraktar & Yu-Jui Huang & Zhou Zhou, 2013. "On hedging American options under model uncertainty," Papers 1309.2982, arXiv.org, revised Apr 2015.
  16. Alessandro Doldi & Marco Frittelli, 2020. "Entropy Martingale Optimal Transport and Nonlinear Pricing-Hedging Duality," Papers 2005.12572, arXiv.org, revised Sep 2021.
  17. Alexander M. G. Cox & Zhaoxu Hou & Jan Obloj, 2014. "Robust pricing and hedging under trading restrictions and the emergence of local martingale models," Papers 1406.0551, arXiv.org, revised Jun 2015.
  18. 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.
  19. Yan Dolinsky & H. Mete Soner, 2017. "Convex Duality with Transaction Costs," Mathematics of Operations Research, INFORMS, vol. 42(2), pages 448-471, May.
  20. Acciaio, B. & Backhoff-Veraguas, J. & Zalashko, A., 2020. "Causal optimal transport and its links to enlargement of filtrations and continuous-time stochastic optimization," Stochastic Processes and their Applications, Elsevier, vol. 130(5), pages 2918-2953.
  21. Sergey Badikov & Mark H. A. Davis & Antoine Jacquier, 2018. "Perturbation analysis of sub/super hedging problems," Papers 1806.03543, arXiv.org, revised May 2021.
  22. Mathias Beiglbock & Benjamin Jourdain & William Margheriti & Gudmund Pammer, 2021. "Stability of the Weak Martingale Optimal Transport Problem," Papers 2109.06322, arXiv.org, revised Apr 2022.
  23. Anna Aksamit & Shuoqing Deng & Jan Obl'oj & Xiaolu Tan, 2016. "Robust pricing--hedging duality for American options in discrete time financial markets," Papers 1604.05517, arXiv.org, revised Apr 2017.
  24. Anna Aksamit & Zhaoxu Hou & Jan Obl'oj, 2016. "Robust framework for quantifying the value of information in pricing and hedging," Papers 1605.02539, arXiv.org, revised Mar 2018.
  25. Sergey Badikov & Antoine Jacquier & Daphne Qing Liu & Patrick Roome, 2016. "No-arbitrage bounds for the forward smile given marginals," Papers 1603.06389, arXiv.org, revised Oct 2016.
  26. Tongseok Lim, 2014. "Optimal martingale transport between radially symmetric marginals in general dimensions," Papers 1412.3530, arXiv.org, revised Feb 2018.
  27. Nicole Bäuerle & Daniel Schmithals, 2019. "Martingale optimal transport in the discrete case via simple linear programming techniques," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 90(3), pages 453-476, December.
  28. David Hobson & Dominykas Norgilas, 2017. "Robust bounds for the American Put," Papers 1711.06466, arXiv.org, revised May 2018.
  29. Beatrice Acciaio & Mathias Beiglboeck & Gudmund Pammer, 2020. "Weak Transport for Non-Convex Costs and Model-independence in a Fixed-Income Market," Papers 2011.04274, arXiv.org, revised Aug 2023.
  30. Benjamin Jourdain & Gudmund Pammer, 2023. "An extension of martingale transport and stability in robust finance," Papers 2304.09551, arXiv.org.
  31. Christopher W. Miller, 2016. "A Duality Result for Robust Optimization with Expectation Constraints," Papers 1610.01227, arXiv.org.
  32. Stephan Eckstein & Michael Kupper, 2019. "Martingale transport with homogeneous stock movements," Papers 1908.10242, arXiv.org, revised May 2021.
  33. Ruodu Wang & Zhenyuan Zhang, 2022. "Simultaneous Optimal Transport," Papers 2201.03483, arXiv.org, revised May 2023.
  34. Ethan Anderes & Steffen Borgwardt & Jacob Miller, 2016. "Discrete Wasserstein barycenters: optimal transport for discrete data," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 84(2), pages 389-409, October.
  35. Johannes Muhle-Karbe & Marcel Nutz, 2018. "A risk-neutral equilibrium leading to uncertain volatility pricing," Finance and Stochastics, Springer, vol. 22(2), pages 281-295, April.
  36. Johannes Muhle-Karbe & Marcel Nutz, 2016. "A Risk-Neutral Equilibrium Leading to Uncertain Volatility Pricing," Papers 1612.09152, arXiv.org, revised Jan 2018.
  37. Huy N. Chau & Masaaki Fukasawa & Miklos Rasonyi, 2021. "Super-replication with transaction costs under model uncertainty for continuous processes," Papers 2102.02298, arXiv.org.
  38. Beatrice Acciaio & Antonio Marini & Gudmund Pammer, 2023. "Calibration of the Bass Local Volatility model," Papers 2311.14567, arXiv.org.
  39. Ivan Guo & Gregoire Loeper & Jan Obloj & Shiyi Wang, 2021. "Optimal transport for model calibration," Papers 2107.01978, arXiv.org.
  40. Aur'elien Alfonsi & Rafael Coyaud & Virginie Ehrlacher & Damiano Lombardi, 2019. "Approximation of Optimal Transport problems with marginal moments constraints," Papers 1905.05663, arXiv.org.
  41. Huesmann, Martin & Stebegg, Florian, 2018. "Monotonicity preserving transformations of MOT and SEP," Stochastic Processes and their Applications, Elsevier, vol. 128(4), pages 1114-1134.
  42. Nutz, Marcel & Stebegg, Florian & Tan, Xiaowei, 2020. "Multiperiod martingale transport," Stochastic Processes and their Applications, Elsevier, vol. 130(3), pages 1568-1615.
  43. Sebastian Herrmann & Johannes Muhle-Karbe & Frank Thomas Seifried, 2017. "Hedging with small uncertainty aversion," Finance and Stochastics, Springer, vol. 21(1), pages 1-64, January.
  44. Nicolas Perkowski & David J. Promel, 2013. "Pathwise stochastic integrals for model free finance," Papers 1311.6187, arXiv.org, revised Jun 2016.
  45. Matteo Burzoni & Marco Frittelli & Zhaoxu Hou & Marco Maggis & Jan Obłój, 2019. "Pointwise Arbitrage Pricing Theory in Discrete Time," Mathematics of Operations Research, INFORMS, vol. 44(3), pages 1034-1057, August.
  46. Mathias Beiglböck & Alexander M. G. Cox & Martin Huesmann & Nicolas Perkowski & David J. Prömel, 2017. "Pathwise superreplication via Vovk’s outer measure," Finance and Stochastics, Springer, vol. 21(4), pages 1141-1166, October.
  47. Max Nendel & Alessandro Sgarabottolo, 2022. "A parametric approach to the estimation of convex risk functionals based on Wasserstein distance," Papers 2210.14340, arXiv.org.
  48. Mykland, Per Aslak, 2019. "Combining statistical intervals and market prices: The worst case state price distribution," Journal of Econometrics, Elsevier, vol. 212(1), pages 272-285.
  49. Arash Fahim & Yu-Jui Huang & Saeed Khalili, 2019. "Generalized Duality for Model-Free Superhedging given Marginals," Papers 1909.06036, arXiv.org, revised Sep 2019.
  50. Yan Dolinsky & H. Soner, 2014. "Robust hedging with proportional transaction costs," Finance and Stochastics, Springer, vol. 18(2), pages 327-347, April.
  51. Sergey Nadtochiy & Jan Obloj, 2016. "Robust Trading of Implied Skew," Papers 1611.05518, arXiv.org.
  52. Mathias Beiglbock & Marcel Nutz, 2014. "Martingale Inequalities and Deterministic Counterparts," Papers 1401.4698, arXiv.org, revised Oct 2014.
  53. Mathias Beiglbock & Alexander M. G. Cox & Martin Huesmann & Nicolas Perkowski & David J. Promel, 2015. "Pathwise super-replication via Vovk's outer measure," Papers 1504.03644, arXiv.org, revised Jul 2016.
  54. Jan Obłój & Johannes Wiesel, 2021. "Distributionally robust portfolio maximization and marginal utility pricing in one period financial markets," Mathematical Finance, Wiley Blackwell, vol. 31(4), pages 1454-1493, October.
  55. Daniel Krv{s}ek & Gudmund Pammer, 2024. "General duality and dual attainment for adapted transport," Papers 2401.11958, arXiv.org.
  56. Tongseok Lim, 2023. "Replication of financial derivatives under extreme market models given marginals," Papers 2307.00807, arXiv.org.
  57. Julien Claisse & Gaoyue Guo & Pierre Henry-Labordère, 2018. "Some Results on Skorokhod Embedding and Robust Hedging with Local Time," Journal of Optimization Theory and Applications, Springer, vol. 179(2), pages 569-597, November.
  58. Ludovic Tangpi, 2018. "Efficient hedging under ambiguity in continuous time," Papers 1812.10876, arXiv.org, revised Mar 2019.
  59. Julien Guyon & Romain Menegaux & Marcel Nutz, 2017. "Bounds for VIX futures given S&P 500 smiles," Finance and Stochastics, Springer, vol. 21(3), pages 593-630, July.
  60. Daniel Bartl, 2016. "Conditional nonlinear expectations," Papers 1612.09103, arXiv.org, revised Mar 2019.
  61. Jonathan Ansari & Eva Lutkebohmert & Ariel Neufeld & Julian Sester, 2022. "Improved Robust Price Bounds for Multi-Asset Derivatives under Market-Implied Dependence Information," Papers 2204.01071, arXiv.org, revised Sep 2023.
  62. Cox, Alexander M.G. & Kinsley, Sam M., 2019. "Discretisation and duality of optimal Skorokhod embedding problems," Stochastic Processes and their Applications, Elsevier, vol. 129(7), pages 2376-2405.
  63. Mun-Chol Kim & Song-Chol Ryom, 2022. "Pathwise superhedging under proportional transaction costs," Mathematics and Financial Economics, Springer, volume 16, number 4, June.
  64. Florian Stebegg, 2014. "Model-Independent Pricing of Asian Options via Optimal Martingale Transport," Papers 1412.1429, arXiv.org.
  65. Mathias Beiglboeck & Alexander Cox & Martin Huesmann, 2017. "The geometry of multi-marginal Skorokhod Embedding," Papers 1705.09505, arXiv.org.
  66. Stephan Eckstein & Michael Kupper, 2018. "Computation of optimal transport and related hedging problems via penalization and neural networks," Papers 1802.08539, arXiv.org, revised Jan 2019.
  67. Erhan Bayraktar & Zhou Zhou, 2015. "Arbitrage, hedging and utility maximization using semi-static trading strategies with American options," Papers 1502.06681, arXiv.org, revised Feb 2016.
  68. Wiesel Johannes & Zhang Erica, 2023. "An optimal transport-based characterization of convex order," Dependence Modeling, De Gruyter, vol. 11(1), pages 1-15, January.
  69. Luciano Campi & Ismail Laachir & Claude Martini, 2017. "Change of numeraire in the two-marginals martingale transport problem," Finance and Stochastics, Springer, vol. 21(2), pages 471-486, April.
  70. Julio Backhoff-Veraguas & Mathias Beiglbock & Martin Huesmann & Sigrid Kallblad, 2017. "Martingale Benamou--Brenier: a probabilistic perspective," Papers 1708.04869, arXiv.org, revised Jan 2019.
  71. Soumik Pal & Ting-Kam Leonard Wong, 2016. "Exponentially concave functions and a new information geometry," Papers 1605.05819, arXiv.org, revised May 2017.
  72. Anna Aksamit & Ivan Guo & Shidan Liu & Zhou Zhou, 2021. "Superhedging duality for multi-action options under model uncertainty with information delay," Papers 2111.14502, arXiv.org, revised Nov 2023.
  73. Sebastian Herrmann & Johannes Muhle-Karbe & Frank Thomas Seifried, 2016. "Hedging with Small Uncertainty Aversion," Papers 1605.06429, arXiv.org.
  74. Julien Guyon & Romain Menegaux & Marcel Nutz, 2016. "Bounds for VIX Futures given S&P 500 Smiles," Papers 1609.05832, arXiv.org, revised Jun 2017.
  75. Matti Kiiski, 2020. "The Riesz representation theorem and weak∗ compactness of semimartingales," Finance and Stochastics, Springer, vol. 24(4), pages 827-870, October.
  76. Erhan Bayraktar & Zhou Zhou, 2019. "No-Arbitrage and Hedging with Liquid American Options," Mathematics of Operations Research, INFORMS, vol. 44(2), pages 468-486, May.
  77. Mathias Beiglboeck & Pierre Henry-Labordere & Nizar Touzi, 2017. "Monotone Martingale Transport Plans and Skorohod Embedding," Papers 1701.06779, arXiv.org.
  78. Gaoyue Guo & Jan Obloj, 2017. "Computational Methods for Martingale Optimal Transport problems," Papers 1710.07911, arXiv.org, revised Apr 2019.
  79. Lim, Tongseok, 2020. "Optimal martingale transport between radially symmetric marginals in general dimensions," Stochastic Processes and their Applications, Elsevier, vol. 130(4), pages 1897-1912.
  80. Alexander M. G. Cox & Jiajie Wang, 2013. "Optimal robust bounds for variance options," Papers 1308.4363, arXiv.org.
  81. David Hobson & Dominykas Norgilas, 2019. "Robust bounds for the American put," Finance and Stochastics, Springer, vol. 23(2), pages 359-395, April.
  82. Marcel Nutz & Johannes Wiesel, 2024. "On the Martingale Schr\"odinger Bridge between Two Distributions," Papers 2401.05209, arXiv.org.
  83. Daniel Bartl & Michael Kupper & David J. Prömel & Ludovic Tangpi, 2019. "Duality for pathwise superhedging in continuous time," Finance and Stochastics, Springer, vol. 23(3), pages 697-728, July.
  84. 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.
  85. Keita Owari, 2024. "Semistatic robust utility indifference valuation and robust integral functionals," Papers 2402.18872, arXiv.org.
  86. Arash Fahim & Yu-Jui Huang, 2016. "Model-independent superhedging under portfolio constraints," Finance and Stochastics, Springer, vol. 20(1), pages 51-81, January.
  87. Joshua Zoen-Git Hiew & Tongseok Lim & Brendan Pass & Marcelo Cruz de Souza, 2023. "Geometry of vectorial martingale optimal transport and robust option pricing," Papers 2309.04947, arXiv.org, revised Sep 2023.
  88. Matteo Burzoni & Marco Frittelli & Zhaoxu Hou & Marco Maggis & Jan Ob{l}'oj, 2016. "Pointwise Arbitrage Pricing Theory in Discrete Time," Papers 1612.07618, arXiv.org, revised Feb 2018.
  89. 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.
  90. Erhan Bayraktar & Shuoqing Deng & Dominykas Norgilas, 2023. "Supermartingale Brenier’s Theorem with Full-Marginal Constraint," World Scientific Book Chapters, in: Robert A Jarrow & Dilip B Madan (ed.), Peter Carr Gedenkschrift Research Advances in Mathematical Finance, chapter 17, pages 569-636, World Scientific Publishing Co. Pte. Ltd..
  91. Julian Sester, 2023. "On intermediate Marginals in Martingale Optimal Transportation," Papers 2307.09710, arXiv.org, revised Nov 2023.
  92. Erhan Bayraktar & Gu Wang, 2018. "Quantile Hedging in a semi-static market with model uncertainty," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 87(2), pages 197-227, April.
  93. Daniel Bartl & Michael Kupper & David J. Promel & Ludovic Tangpi, 2017. "Duality for pathwise superhedging in continuous time," Papers 1705.02933, arXiv.org, revised Apr 2019.
  94. Nassif Ghoussoub & Young-Heon Kim & Tongseok Lim, 2017. "Optimal Brownian Stopping between radially symmetric marginals in general dimensions," Papers 1711.02784, arXiv.org.
  95. David Hobson & Martin Klimmek, 2015. "Robust price bounds for the forward starting straddle," Finance and Stochastics, Springer, vol. 19(1), pages 189-214, January.
  96. Beatrice Acciaio & Martin Larsson & Walter Schachermayer, 2017. "The space of outcomes of semi-static trading strategies need not be closed," Finance and Stochastics, Springer, vol. 21(3), pages 741-751, July.
  97. Matteo Burzoni & Marco Frittelli & Marco Maggis, 2015. "Model-free Superhedging Duality," Papers 1506.06608, arXiv.org, revised May 2016.
  98. Zhengqing Zhou & Jose Blanchet & Peter W. Glynn, 2021. "Distributionally Robust Martingale Optimal Transport," Papers 2106.07191, arXiv.org, revised Nov 2021.
  99. Ariel Neufeld & Julian Sester, 2021. "On the stability of the martingale optimal transport problem: A set-valued map approach," Papers 2102.02718, arXiv.org, revised Apr 2021.
  100. Arash Fahim & Yu-Jui Huang, 2014. "Model-independent Superhedging under Portfolio Constraints," Papers 1402.2599, arXiv.org, revised Jun 2015.
  101. Marcel Nutz & Florian Stebegg & Xiaowei Tan, 2017. "Multiperiod Martingale Transport," Papers 1703.10588, arXiv.org, revised May 2019.
  102. Julio Backhoff-Veraguas & Gudmund Pammer, 2019. "Stability of martingale optimal transport and weak optimal transport," Papers 1904.04171, arXiv.org, revised Dec 2020.
  103. Marcel Nutz & Johannes Wiesel & Long Zhao, 2023. "Limits of semistatic trading strategies," Mathematical Finance, Wiley Blackwell, vol. 33(1), pages 185-205, January.
  104. Mathias Beiglbock & Marcel Nutz & Florian Stebegg, 2019. "Fine Properties of the Optimal Skorokhod Embedding Problem," Papers 1903.03887, arXiv.org, revised Apr 2020.
  105. Neufeld, Ariel & Sester, Julian, 2021. "On the stability of the martingale optimal transport problem: A set-valued map approach," Statistics & Probability Letters, Elsevier, vol. 176(C).
  106. Henry-Labordère, Pierre & Tan, Xiaolu & Touzi, Nizar, 2016. "An explicit martingale version of the one-dimensional Brenier’s Theorem with full marginals constraint," Stochastic Processes and their Applications, Elsevier, vol. 126(9), pages 2800-2834.
  107. Ariel Neufeld & Julian Sester, 2021. "Model-free price bounds under dynamic option trading," Papers 2101.01024, arXiv.org, revised Jul 2021.
  108. Marcel Nutz & Johannes Wiesel & Long Zhao, 2022. "Martingale Schr\"odinger Bridges and Optimal Semistatic Portfolios," Papers 2204.12250, arXiv.org.
  109. Acciaio, Beatrice & Larsson, Martin, 2017. "Semi-static completeness and robust pricing by informed investors," LSE Research Online Documents on Economics 68502, London School of Economics and Political Science, LSE Library.
  110. Veraguas, Julio Backhoff & Beiglböck, Mathias & Eder, Manu & Pichler, Alois, 2020. "Fundamental properties of process distances," Stochastic Processes and their Applications, Elsevier, vol. 130(9), pages 5575-5591.
  111. Beiglböck, Mathias & Henry-Labordère, Pierre & Touzi, Nizar, 2017. "Monotone martingale transport plans and Skorokhod embedding," Stochastic Processes and their Applications, Elsevier, vol. 127(9), pages 3005-3013.
  112. Aur'elien Alfonsi & Jacopo Corbetta & Benjamin Jourdain, 2017. "Sampling of probability measures in the convex order by Wasserstein projection," Papers 1709.05287, arXiv.org, revised Feb 2019.
  113. Marcel Nutz, 2014. "Superreplication under model uncertainty in discrete time," Finance and Stochastics, Springer, vol. 18(4), pages 791-803, October.
  114. Teemu Pennanen & Udomsak Rakwongwan, 2020. "Optimal semi-static hedging in illiquid markets," Papers 2008.01463, arXiv.org.
  115. Arash Fahim & Yu-Jui Huang, 2016. "Model-independent superhedging under portfolio constraints," Finance and Stochastics, Springer, vol. 20(1), pages 51-81, January.
  116. Sergey Nadtochiy & Jan Obłój, 2017. "Robust Trading Of Implied Skew," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(02), pages 1-41, March.
  117. David Hobson & Anthony Neuberger, 2017. "Model uncertainty and the pricing of American options," Finance and Stochastics, Springer, vol. 21(1), pages 285-329, January.
  118. Nicole Bauerle & Daniel Schmithals, 2019. "Consistent upper price bounds for exotic options given a finite number of call prices and their convergence," Papers 1907.09144, arXiv.org.
  119. Julio Backhoff-Veraguas & Daniel Bartl & Mathias Beiglbock & Manu Eder, 2019. "Adapted Wasserstein Distances and Stability in Mathematical Finance," Papers 1901.07450, arXiv.org, revised May 2020.
  120. Ariel Neufeld & Julian Sester, 2021. "A deep learning approach to data-driven model-free pricing and to martingale optimal transport," Papers 2103.11435, arXiv.org, revised Dec 2022.
  121. Rüschendorf L., 2018. "Risk bounds with additional information on functionals of the risk vector," Dependence Modeling, De Gruyter, vol. 6(1), pages 102-113, June.
  122. Acciaio, B. & Backhoff-Veraguas, J. & Zalashko, A., 2020. "Causal optimal transport and its links to enlargement of filtrations and continuous-time stochastic optimization," LSE Research Online Documents on Economics 101864, London School of Economics and Political Science, LSE Library.
  123. Johannes Wiesel & Erica Zhang, 2022. "An optimal transport based characterization of convex order," Papers 2207.01235, arXiv.org, revised Mar 2023.
  124. Romain Blanchard & Laurence Carassus, 2021. "Convergence of utility indifference prices to the superreplication price in a multiple‐priors framework," Mathematical Finance, Wiley Blackwell, vol. 31(1), pages 366-398, January.
  125. Campi, Luciano & Laachir, Ismail & Martini, Claude, 2017. "Change of numeraire in the two-marginals martingale transport problem," LSE Research Online Documents on Economics 68783, London School of Economics and Political Science, LSE Library.
  126. Luca De Gennaro Aquino & Carole Bernard, 2019. "Bounds on Multi-asset Derivatives via Neural Networks," Papers 1911.05523, arXiv.org, revised Nov 2020.
  127. Beatrice Acciaio & Mathias Beiglböck & Gudmund Pammer, 2021. "Weak transport for non‐convex costs and model‐independence in a fixed‐income market," Mathematical Finance, Wiley Blackwell, vol. 31(4), pages 1423-1453, October.
  128. Romain Blanchard & Laurence Carassus, 2017. "Convergence of utility indifference prices to the superreplication price in a multiple-priors framework," Papers 1709.09465, arXiv.org, revised Oct 2020.
  129. Sebastian Herrmann & Johannes Muhle-Karbe, 2017. "Model uncertainty, recalibration, and the emergence of delta–vega hedging," Finance and Stochastics, Springer, vol. 21(4), pages 873-930, October.
  130. Jan Obloj & Johannes Wiesel, 2021. "Distributionally robust portfolio maximisation and marginal utility pricing in one period financial markets," Papers 2105.00935, arXiv.org, revised Nov 2021.
  131. David Hobson & Anthony Neuberger, 2016. "On the value of being American," Papers 1604.02269, arXiv.org.
  132. Patrick Cheridito & Matti Kiiski & David J. Promel & H. Mete Soner, 2019. "Martingale optimal transport duality," Papers 1904.04644, arXiv.org, revised Nov 2020.
  133. Daniel Lacker, 2015. "Liquidity, risk measures, and concentration of measure," Papers 1510.07033, arXiv.org, revised Oct 2015.
  134. Benjamin Jourdain & Kexin Shao, 2023. "Non-decreasing martingale couplings," Papers 2305.00565, arXiv.org.
  135. Luciano Campi & Ismail Laachir & Claude Martini, 2014. "Change of numeraire in the two-marginals martingale transport problem," Papers 1406.6951, arXiv.org, revised Mar 2016.
  136. Gaoyue Guo & Xiaolu Tan & Nizar Touzi, 2015. "Optimal Skorokhod embedding under finitely-many marginal constraints," Papers 1506.04063, arXiv.org, revised Aug 2016.
  137. 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.
  138. Steffen Borgwardt, 2022. "An LP-based, strongly-polynomial 2-approximation algorithm for sparse Wasserstein barycenters," Operational Research, Springer, vol. 22(2), pages 1511-1551, April.
  139. Haiyan Liu & Bin Wang & Ruodu Wang & Sheng Chao Zhuang, 2023. "Distorted optimal transport," Papers 2308.11238, arXiv.org.
  140. Yan Dolinsky & H. Mete Soner, 2015. "Convex duality with transaction costs," Papers 1502.01735, arXiv.org, revised Oct 2015.
  141. Zhaoxu Hou & Jan Obłój, 2018. "Robust pricing–hedging dualities in continuous time," Finance and Stochastics, Springer, vol. 22(3), pages 511-567, July.
  142. Marcel Nutz & Florian Stebegg, 2016. "Canonical Supermartingale Couplings," Papers 1609.02867, arXiv.org, revised Nov 2017.
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