Entropy martingale optimal transport and nonlinear pricing-hedging duality
type: Item
instance of: scholarly article
title: Entropy martingale optimal transport and nonlinear pricing-hedging duality
author: Alessandro Doldi
author: Marco Frittelli
published in: Finance and Stochastics
publication date: 2023-04-12T00:00:00Z
full work available at URL: https://arxiv.org/abs/2005.12572
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60G46
Mathematics Subject Classification ID: 91G80
Mathematics Subject Classification ID: 49J45
Mathematics Subject Classification ID: 90C46
zbMATH DE Number: 7673716
zbMATH Keywords: martingale optimal transport problem
zbMATH Keywords: entropy optimal transport problem
zbMATH Keywords: pricing-hedging duality
zbMATH Keywords: robust finance
zbMATH Keywords: pathwise finance
MaRDI profile type: Publication
OpenAlex ID: W3031464360
cites work: Q5386174
cites work: Stability of martingale optimal transport and weak optimal transport
cites work: Duality for pathwise superhedging in continuous time
cites work: Model-independent bounds for option prices -- a mass transport approach
cites work: AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT
cites work: Iterative Bregman Projections for Regularized Transportation Problems
cites work: Entropic optimal transport: geometry and large deviations
cites work: Q3400706
cites work: Q3415147
cites work: Q3526643
cites work: Martingale optimal transport duality
cites work: Duality Formulas for Robust Pricing and Hedging in Discrete Time
cites work: Arbitrage bounds for prices of weighted variance swaps
cites work: Martingale optimal transport and robust hedging in continuous time
cites work: Stochastic finance. An introduction in discrete time.
cites work: A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options
cites work: Stability of entropic optimal transport and Schrödinger bridges
cites work: Computational methods for martingale optimal transport problems
cites work: The maximum maximum of a martingale with given \(n\) marginals
cites work: Robust hedging of the lookback option
cites work: Robust pricing-hedging dualities in continuous time
cites work: Contingency tables with given marginals
cites work: Optimal entropy-transport problems and a new Hellinger-Kantorovich distance between positive measures
cites work: On the stability of the martingale optimal transport problem: a set-valued map approach
cites work: Entropic optimal transport: convergence of potentials
cites work: Convex duality in nonlinear optimal transport
cites work: Convergence of the iterative proportional fitting procedure
cites work: Minimax monotonicity
cites work: Optimal transportation under controlled stochastic dynamics
cites work: Optimal Transport
DOI: 10.1007/S00780-023-00498-X
Recommended article: Martingale optimal transport and robust hedging in continuous time
Recommended article: Martingale optimal transport duality
Recommended article: Martingale optimal transport in the Skorokhod space
Recommended article: Q3405337
Recommended article: Model-Free Hedging
Recommended article: On a problem of optimal transport under marginal martingale constraints
Recommended article: A PDE representation of the density of the minimal entropy martingale measure in stochastic volatility markets
Recommended article: Complete duality for martingale optimal transport on the line
Recommended article: Martingale Inequalities, Optimal Martingale Transport, and Robust Superhedging
Recommended article: Dual attainment for the martingale transport problem
description: scientific article; zbMATH DE number 7673716