2017 MATRIX annals

DOI10.1007/978-3-030-04161-8zbMath1411.37003arXiv1709.08075OpenAlexW2939251526MaRDI QIDQ1755651

Shiyi Wang, Grégoire Loeper, Ivan Guo

Publication date: 10 January 2019

Published in: MATRIX Book Series (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1709.08075

zbMATH Keywords

option pricingtime continuous martingale optimal transport

Mathematics Subject Classification ID

Proceedings, conferences, collections, etc. pertaining to statistics (62-06) Convex programming (90C25) Proceedings of conferences of miscellaneous specific interest (00B25) Proceedings, conferences, collections, etc. pertaining to game theory, economics, and finance (91-06) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20) Proceedings, conferences, collections, etc. pertaining to dynamical systems and ergodic theory (37-06) Proceedings, conferences, collections, etc. pertaining to calculus of variations and optimal control (49-06) Proceedings, conferences, collections, etc. pertaining to operations research and mathematical programming (90-06) Proceedings, conferences, collections, etc. pertaining to special functions (33-06)

Related Items (9)

Robust utility maximization under model uncertainty via a penalization approach ⋮ Robust and accurate construction of the local volatility surface using the Black-Scholes equation ⋮ Portfolio optimization with a prescribed terminal wealth distribution ⋮ Calibration of local‐stochastic volatility models by optimal transport ⋮ Interior second derivatives estimates for nonlinear diffusions ⋮ Path dependent optimal transport and model calibration on exotic derivatives ⋮ A Benamou-Brenier formulation of martingale optimal transport ⋮ Joint Modeling and Calibration of SPX and VIX by Optimal Transport ⋮ Stability of martingale optimal transport and weak optimal transport

Cites Work

• Unnamed Item
• Almost-sure hedging with permanent price impact
• Optimal transportation under controlled stochastic dynamics
• Martingale optimal transport and robust hedging in continuous time
• Option pricing with linear market impact and nonlinear Black-Scholes equations
• A computational fluid mechanics solution to the Monge-Kantorovich mass transfer problem
• On a problem of Monge
• Hedging of Covered Options with Linear Market Impact and Gamma Constraint
• The Existence of Probability Measures with Given Marginals
• Optimal Transport

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