On entropy martingale optimal transport theory

Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Martingales and classical analysis (60G46) Optimal transportation (49Q22)

Cites Work

Unnamed Item
Unnamed Item
Unnamed Item
Unnamed Item
Unnamed Item
Unnamed Item
The maximum maximum of a martingale with given \(n\) marginals
Universal arbitrage aggregator in discrete-time markets under uncertainty
Stochastic finance. An introduction in discrete time.
Model-independent bounds for option prices -- a mass transport approach
Maximizing functionals of the maximum in the Skorokhod embedding problem and an application to variance swaps
Optimal transportation under controlled stochastic dynamics
Quasi-sure stochastic analysis through aggregation
Quasi-sure analysis, aggregation and dual representations of sublinear expectations in general spaces
Martingale optimal transport and robust hedging in continuous time
Robust pricing and hedging of double no-touch options
Martingale optimal transport in the Skorokhod space
A theoretical framework for the pricing of contingent claims in the presence of model uncertainty
Minimax monotonicity
Robust hedging of the lookback option
A general version of the fundamental theorem of asset pricing
Convex measures of risk and trading constraints
Robust pricing-hedging dualities in continuous time
Optimal entropy-transport problems and a new Hellinger-Kantorovich distance between positive measures
Root's barrier: construction, optimality and applications to variance options
Duality for pathwise superhedging in continuous time
Entropic optimal transport: convergence of potentials
Entropic optimal transport: geometry and large deviations
Stability of martingale optimal transport and weak optimal transport
Stability of entropic optimal transport and Schrödinger bridges
On the stability of the martingale optimal transport problem: a set-valued map approach
Computational methods for martingale optimal transport problems
Arbitrage and duality in nondominated discrete-time models
Financial economics without probabilistic prior assumptions
Model-free superhedging duality
Convex duality in nonlinear optimal transport
A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options
Martingale optimal transport duality
Entropy martingale optimal transport and nonlinear pricing-hedging duality
Pricing Via Utility Maximization and Entropy
Coherent Measures of Risk
Robust Hedging of Barrier Options
A MODEL-FREE VERSION OF THE FUNDAMENTAL THEOREM OF ASSET PRICING AND THE SUPER-REPLICATION THEOREM
ARBITRAGE BOUNDS FOR PRICES OF WEIGHTED VARIANCE SWAPS
Expected Utility, Penalty Functions, and Duality in Stochastic Nonlinear Programming
The Skorokhod Embedding Problem and Model-Independent Bounds for Option Prices
Robust Hedging of Double Touch Barrier Options
Fundamental Theorem of Asset Pricing Under Transaction Costs and Model Uncertainty
RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES
On the Existence of Minimax Martingale Measures
Exponential Hedging and Entropic Penalties
Duality Formulas for Robust Pricing and Hedging in Discrete Time
Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
Pointwise Arbitrage Pricing Theory in Discrete Time
Nonlinear Expectations and Stochastic Calculus under Uncertainty
SUPER-HEDGING AMERICAN OPTIONS WITH SEMI-STATIC TRADING STRATEGIES UNDER MODEL UNCERTAINTY
AUTOMATED OPTION PRICING: NUMERICAL METHODS
AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT
Introduction to a theory of value coherent with the no-arbitrage principle
On intermediate marginals in martingale optimal transportation
Towards optimal running timesfor optimal transport

This page was built for publication: On entropy martingale optimal transport theory