A model-free no-arbitrage price bound for variance options
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Publication:373003
DOI10.1007/S00245-013-9197-1zbMATH Open1272.93135OpenAlexW2043068947MaRDI QIDQ373003
Xiaolu Tan, J. Frédéric Bonnans
Publication date: 21 October 2013
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://hal.inria.fr/inria-00634387/file/RR-7777.pdf
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Related Items (16)
Martingale Inequalities, Optimal Martingale Transport, and Robust Superhedging ⋮ Model-independent bounds for option prices -- a mass transport approach ⋮ Optimal transportation under controlled stochastic dynamics ⋮ Perturbation analysis of sub/super hedging problems ⋮ Title not available (Why is that?) ⋮ A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options ⋮ Distribution‐constrained optimal stopping ⋮ Arbitrage-free market models for option prices: the multi-strike case ⋮ Peacock geodesics in Wasserstein space ⋮ An explicit martingale version of the one-dimensional Brenier's theorem with full marginals constraint ⋮ Computational methods for martingale optimal transport problems ⋮ Optimal Skorokhod embedding under finitely many marginal constraints ⋮ An arbitrage-free approach to quasi-option value ⋮ On the Monotonicity Principle of Optimal Skorokhod Embedding Problem ⋮ A Benamou-Brenier formulation of martingale optimal transport ⋮ The maximum maximum of a martingale with given \(n\) marginals
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