Pages that link to "Item:Q354188"

The following pages link to Model-independent bounds for option prices -- a mass transport approach (Q354188):

Displaying 50 items.

• Instability of martingale optimal transport in dimension \(\mathrm{d}\ge 2\) (Q2135494) (← links)
• Martingale Wasserstein inequality for probability measures in the convex order (Q2136998) (← links)
• Approximation of martingale couplings on the line in the adapted weak topology (Q2140003) (← links)
• The geometry of multi-marginal Skorokhod embedding (Q2174667) (← links)
• Fundamental properties of process distances (Q2196379) (← links)
• All adapted topologies are equal (Q2210750) (← links)
• The Riesz representation theorem and weak\(^\ast\) compactness of semimartingales (Q2211341) (← links)
• Martingale Benamou-Brenier: a probabilistic perspective (Q2212593) (← links)
• Efficient hedging under ambiguity in continuous time (Q2223112) (← links)
• Sampling of probability measures in the convex order by Wasserstein projection (Q2227463) (← links)
• On the stability of the martingale optimal transport problem: a set-valued map approach (Q2244467) (← links)
• Superreplication under model uncertainty in discrete time (Q2255006) (← links)
• Martingale optimal transport in the discrete case via simple linear programming techniques (Q2283306) (← links)
• Computational methods for martingale optimal transport problems (Q2299581) (← links)
• Robust pricing and hedging around the globe (Q2299582) (← links)
• Multiperiod martingale transport (Q2301489) (← links)
• Causal optimal transport and its links to enlargement of filtrations and continuous-time stochastic optimization (Q2309594) (← links)
• Combining statistical intervals and market prices: the worst case state price distribution (Q2323381) (← links)
• A Benamou-Brenier formulation of martingale optimal transport (Q2325339) (← links)
• On multistochastic Monge-Kantorovich problem, bitwise operations, and fractals (Q2326338) (← links)
• Arbitrage and duality in nondominated discrete-time models (Q2341632) (← links)
• Pathwise versions of the Burkholder-Davis-Gundy inequality (Q2345124) (← links)
• Optimal transport and Skorokhod embedding (Q2356918) (← links)
• Bounds for VIX futures given S{\&}P 500 smiles (Q2364530) (← links)
• The space of outcomes of semi-static trading strategies need not be closed (Q2364534) (← links)
• Monotone martingale transport plans and Skorokhod embedding (Q2402432) (← links)
• Model uncertainty, recalibration, and the emergence of delta-vega hedging (Q2412385) (← links)
• Pathwise superreplication via Vovk's outer measure (Q2412395) (← links)
• Dual attainment for the martingale transport problem (Q2419652) (← links)
• Convex duality in nonlinear optimal transport (Q2421526) (← links)
• Irreducible convex paving for decomposition of multidimensional martingale transport plans (Q2421828) (← links)
• A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options (Q2443194) (← links)
• Martingale optimal transport duality (Q2664166) (← links)
• Pathwise superhedging under proportional transaction costs (Q2675368) (← links)
• Entropy martingale optimal transport and nonlinear pricing-hedging duality (Q2697495) (← links)
• Utility maximization under model uncertainty in discrete time (Q2799995) (← links)
• Processes that can be embedded in a geometric Brownian motion (Q2811893) (← links)
• Optimal Skorokhod embedding under finitely many marginal constraints (Q2818217) (← links)
• On the monotonicity principle of optimal Skorokhod embedding problem (Q2821807) (← links)
• ROBUST TRADING OF IMPLIED SKEW (Q2976126) (← links)
• The Skorokhod Embedding Problem and Model-Independent Bounds for Option Prices (Q3061148) (← links)
• Breaking the Curse of Dimension in Multi-Marginal Kantorovich Optimal Transport on Finite State Spaces (Q3176425) (← links)
• ROBUST BOUNDS FOR DERIVATIVE PRICES IN MARKOVIAN MODELS (Q3304200) (← links)
• Linking Vanillas and VIX Options: A Constrained Martingale Optimal Transport Problem (Q3456842) (← links)
• No-arbitrage bounds for the forward smile given marginals (Q4555138) (← links)
• Model-Independent Bounds for Asian Options: A Dynamic Programming Approach (Q4591237) (← links)
• Causal Transport in Discrete Time and Applications (Q4602344) (← links)
• Duality Formulas for Robust Pricing and Hedging in Discrete Time (Q4607049) (← links)
• A pointwise bipolar theorem (Q4621359) (← links)
• Robust Pricing and Hedging of Options on Multiple Assets and Its Numerics (Q4987713) (← links)