Martingale optimal transport in the discrete case via simple linear programming techniques
From MaRDI portal
Publication:2283306
DOI10.1007/S00186-019-00684-8zbMath1435.49010arXiv1902.02503OpenAlexW3099294802WikidataQ127129595 ScholiaQ127129595MaRDI QIDQ2283306
Nicole Bäuerle, Daniel Schmithals
Publication date: 30 December 2019
Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1902.02503
Martingales with discrete parameter (60G42) Variational problems in a geometric measure-theoretic setting (49Q20) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (1)
Cites Work
- On a problem of optimal transport under marginal martingale constraints
- An explicit martingale version of the one-dimensional Brenier theorem
- Model-independent bounds for option prices -- a mass transport approach
- Stability of the shadow projection and the left-curtain coupling
- The Skorokhod embedding problem and its offspring
- Stability of a 4th-order curvature condition arising in optimal transport theory
- Robust hedging of the lookback option
- Mass transportation problems. Vol. 1: Theory. Vol. 2: Applications
- Monotonicity preserving transformations of MOT and SEP
- The geometry of multi-marginal Skorokhod embedding
- Computational methods for martingale optimal transport problems
- Multiperiod martingale transport
- Optimal transport and Skorokhod embedding
- Monotone martingale transport plans and Skorokhod embedding
- The left-curtain martingale coupling in the presence of atoms
- On a problem of Monge
- The Skorokhod Embedding Problem and Model-Independent Bounds for Option Prices
- Some Extensions of a Theorem of Hardy, Littlewood and Pólya and Their Applications
- The Existence of Probability Measures with Given Marginals
- On a Theorem of Hardy, Littlewood, Polya, and Blackwell
This page was built for publication: Martingale optimal transport in the discrete case via simple linear programming techniques
