Monotone martingale transport plans and Skorokhod embedding (Q2402432): Difference between revisions

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-.1016/j.spa.2017.01.004
@@ Property / DOI: 10.1016/j.spa.2017.01.004 / rank @@
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+.06779
@@ Property / arXiv ID: 1701.06779 / rank @@
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+Optimal transport and Skorokhod embedding
@@ Property / cites work: Optimal transport and Skorokhod embedding / rank @@
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+Model-independent bounds for option prices -- a mass transport approach
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+On a problem of optimal transport under marginal martingale constraints
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+Arbitrage and duality in nondominated discrete-time models
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+Change of numeraire in the two-marginals martingale transport problem
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+Martingale optimal transport and robust hedging in continuous time
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+The Skorokhod Embedding Problem and Model-Independent Bounds for Option Prices
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+Model-independent hedging strategies for variance swaps
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+ROBUST BOUNDS FOR FORWARD START OPTIONS
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+Q5838558
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+Stopping times on Brownian motion: Some properties of root's construction
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+On Embedding Right Continuous Martingales in Brownian Motion
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+The Skorokhod embedding problem and its offspring
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+Martingale Inequalities for the Maximum via Pathwise Arguments
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+Characterization of the subdifferentials of convex functions
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+The Existence of Probability Measures with Given Marginals
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+Optimal Transport
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@@ Property / DOI @@
+.1016/J.SPA.2017.01.004
@@ Property / DOI: 10.1016/J.SPA.2017.01.004 / rank @@
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