Pages that link to "Item:Q2443194"

The following pages link to A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options (Q2443194):

Displaying 50 items.

• 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)
• 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)
• An integral equation for Root's barrier and the generation of Brownian increments (Q2354891) (← 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)
• Irreducible convex paving for decomposition of multidimensional martingale transport plans (Q2421828) (← links)
• Martingale optimal transport duality (Q2664166) (← links)
• Entropy martingale optimal transport and nonlinear pricing-hedging duality (Q2697495) (← links)
• The Joint Law of the Extrema, Final Value and Signature of a Stopped Random Walk (Q2798586) (← links)
• Utility maximization under model uncertainty in discrete time (Q2799995) (← links)
• Model-independent no-arbitrage conditions on American put options (Q2800003) (← links)
• Optimal Skorokhod embedding under finitely many marginal constraints (Q2818217) (← links)
• On the monotonicity principle of optimal Skorokhod embedding problem (Q2821807) (← 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)
• Martingale Inequalities, Optimal Martingale Transport, and Robust Superhedging (Q3465124) (← 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)
• Shadow couplings (Q4992380) (← links)
• Joint Modeling and Calibration of SPX and VIX by Optimal Transport (Q5019589) (← links)
• Model-independent pricing with insider information: a skorokhod embedding approach (Q5022279) (← links)
• Quantization and martingale couplings (Q5026465) (← links)
• Gromov–Wasserstein distances between Gaussian distributions (Q5049903) (← links)
• Optimal Brownian Stopping When the Source and Target Are Radially Symmetric Distributions (Q5130894) (← links)
• On the support of extremal martingale measures with given marginals: the countable case (Q5203949) (← links)
• Compactness criterion for semimartingale laws and semimartingale optimal transport (Q5222735) (← links)
• A Simple Counterexample to the Monge Ansatz in Multimarginal Optimal Transport, Convex Geometry of the Set of Kantorovich Plans, and the Frenkel--Kontorova Model (Q5243245) (← links)
• Distribution‐constrained optimal stopping (Q5743126) (← links)
• BOUNDS ON MULTI-ASSET DERIVATIVES VIA NEURAL NETWORKS (Q5854317) (← links)
• Weak transport for non‐convex costs and model‐independence in a fixed‐income market (Q6054386) (← links)
• Distributionally robust portfolio maximization and marginal utility pricing in one period financial markets (Q6054387) (← links)
• Super‐replication with transaction costs under model uncertainty for continuous processes (Q6054434) (← links)
• Limits of semistatic trading strategies (Q6054450) (← links)
• Weak Optimal Transport with Unnormalized Kernels (Q6086708) (← links)