An explicit martingale version of the one-dimensional Brenier's theorem with full marginals constraint (Q737181): Difference between revisions

@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.spa.2016.03.003
+Normal rank
@@ Property / OpenAlex ID @@
+W3124757165
@@ Property / OpenAlex ID: W3124757165 / rank @@
+Normal rank
@@ Property / cites work @@
+A MODEL-FREE VERSION OF THE FUNDAMENTAL THEOREM OF ASSET PRICING AND THE SUPER-REPLICATION THEOREM
+Normal rank
@@ Property / cites work @@
+A continuous non-Brownian motion martingale with Brownian motion marginal distributions
+Normal rank
@@ Property / cites work @@
+Model-independent bounds for option prices -- a mass transport approach
+Normal rank
@@ Property / cites work @@
+On a problem of optimal transport under marginal martingale constraints
+Normal rank
@@ Property / cites work @@
+Martingale inequalities and deterministic counterparts
+Normal rank
@@ Property / cites work @@
+A model-free no-arbitrage price bound for variance options
+Normal rank
@@ Property / cites work @@
+Arbitrage and duality in nondominated discrete-time models
+Normal rank
@@ Property / cites work @@
+Robust Hedging of Barrier Options
@@ Property / cites work: Robust Hedging of Barrier Options / rank @@
+Normal rank
@@ Property / cites work @@
+Change of numeraire in the two-marginals martingale transport problem
+Normal rank
@@ Property / cites work @@
+Q4463112
@@ Property / cites work: Q4463112 / rank @@
+Normal rank
@@ Property / cites work @@
+From local volatility to local Lévy models
@@ Property / cites work: From local volatility to local Lévy models / rank @@
+Normal rank
@@ Property / cites work @@
+Pathwise inequalities for local time: Applications to Skorokhod embeddings and optimal stopping
+Normal rank
@@ Property / cites work @@
+Robust pricing and hedging of double no-touch options
+Normal rank
@@ Property / cites work @@
+On joint distributions of the maximum, minimum and terminal value of a continuous uniformly integrable martingale
+Normal rank
@@ Property / cites work @@
+Root's barrier: construction, optimality and applications to variance options
+Normal rank
@@ Property / cites work @@
+Linking Vanillas and VIX Options: A Constrained Martingale Optimal Transport Problem
+Normal rank
@@ Property / cites work @@
+Martingale optimal transport and robust hedging in continuous time
+Normal rank
@@ Property / cites work @@
+Robust hedging with proportional transaction costs
+Normal rank
@@ Property / cites work @@
+Convex Duality with Transaction Costs
@@ Property / cites work: Convex Duality with Transaction Costs / rank @@
+Normal rank
@@ Property / cites work @@
+Model-independent superhedging under portfolio constraints
+Normal rank
@@ Property / cites work @@
+Mimicking self-similar processes
@@ Property / cites work: Mimicking self-similar processes / rank @@
+Normal rank
@@ Property / cites work @@
+Q3911166
@@ Property / cites work: Q3911166 / rank @@
+Normal rank
@@ Property / cites work @@
+A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options
+Normal rank
@@ Property / cites work @@
+Optimal maps for the multidimensional Monge-Kantorovich problem
+Normal rank
@@ Property / cites work @@
+Root's barrier, viscosity solutions of obstacle problems and reflected FBSDEs
+Normal rank
@@ Property / cites work @@
+Optimal Skorokhod Embedding Under Finitely Many Marginal Constraints
+Normal rank
@@ Property / cites work @@
+On the Monotonicity Principle of Optimal Skorokhod Embedding Problem
+Normal rank
@@ Property / cites work @@
+A family of non-Gaussian martingales with Gaussian marginals
+Normal rank
@@ Property / cites work @@
+Monge problem for \(n\) probabilities
@@ Property / cites work: Monge problem for \(n\) probabilities / rank @@
+Normal rank
@@ Property / cites work @@
+The maximum maximum of a martingale with given \(n\) marginals
+Normal rank
@@ Property / cites work @@
+An explicit martingale version of the one-dimensional Brenier's theorem with full marginals constraint
+Normal rank
@@ Property / cites work @@
+Constructing Self-Similar Martingales via Two Skorokhod Embeddings
+Normal rank
@@ Property / cites work @@
+Peacocks and associated martingales, with explicit constructions
+Normal rank
@@ Property / cites work @@
+A new proof of Kellerer’s theorem
@@ Property / cites work: A new proof of Kellerer’s theorem / rank @@
+Normal rank
@@ Property / cites work @@
+Robust hedging of the lookback option
@@ Property / cites work: Robust hedging of the lookback option / rank @@
+Normal rank
@@ Property / cites work @@
+The Skorokhod Embedding Problem and Model-Independent Bounds for Option Prices
+Normal rank
@@ Property / cites work @@
+Fake exponential Brownian motion
@@ Property / cites work: Fake exponential Brownian motion / rank @@
+Normal rank
@@ Property / cites work @@
+Constructing time-homogeneous generalized diffusions consistent with optimal stopping values
+Normal rank
@@ Property / cites work @@
+Model-independent hedging strategies for variance swaps
+Normal rank
@@ Property / cites work @@
+Maximizing functionals of the maximum in the Skorokhod embedding problem and an application to variance swaps
+Normal rank
@@ Property / cites work @@
+Robust price bounds for the forward starting straddle
+Normal rank
@@ Property / cites work @@
+ROBUST BOUNDS FOR FORWARD START OPTIONS
@@ Property / cites work: ROBUST BOUNDS FOR FORWARD START OPTIONS / rank @@
+Normal rank
@@ Property / cites work @@
+Calcul stochastique et problèmes de martingales
@@ Property / cites work: Calcul stochastique et problèmes de martingales / rank @@
+Normal rank
@@ Property / cites work @@
+Q4778955
@@ Property / cites work: Q4778955 / rank @@
+Normal rank
@@ Property / cites work @@
+Martingales associated to peacocks using the curtain coupling
+Normal rank
@@ Property / cites work @@
+Optimal Skorokhod embedding given full marginals and Azéma-Yor peacocks
+Normal rank
@@ Property / cites work @@
+On pathwise stochastic integration
@@ Property / cites work: On pathwise stochastic integration / rank @@
+Normal rank
@@ Property / cites work @@
+Markov-Komposition und eine Anwendung auf Martingale. (Markov compositions and an application to martingales)
+Normal rank
@@ Property / cites work @@
+On a generalization of cyclic monotonicity and distances among random vectors
+Normal rank
@@ Property / cites work @@
+Q4114577
@@ Property / cites work: Q4114577 / rank @@
+Normal rank
@@ Property / cites work @@
+Making Markov martingales meet marginals: With explicit constructions
+Normal rank
@@ Property / cites work @@
+The Skorokhod embedding problem and its offspring
@@ Property / cites work: The Skorokhod embedding problem and its offspring / rank @@
+Normal rank
@@ Property / cites work @@
+On fake Brownian motions
@@ Property / cites work: On fake Brownian motions / rank @@
+Normal rank
@@ Property / cites work @@
+Maximum Submatrix Traces for Positive Definite Matrices
+Normal rank
@@ Property / cites work @@
+Uniqueness and Monge Solutions in the Multimarginal Optimal Transportation Problem
+Normal rank
@@ Property / cites work @@
+On the local structure of optimal measures in the multi-marginal optimal transportation problem
+Normal rank
@@ Property / cites work @@
+On a Class of Optimal Transportation Problems with Infinitely Many Marginals
+Normal rank
@@ Property / cites work @@
+Multi-marginal optimal transport and multi-agent matching problems: uniqueness and structure of solutions
+Normal rank
@@ Property / cites work @@
+Mass transportation problems. Vol. 1: Theory. Vol. 2: Applications
+Normal rank
@@ Property / cites work @@
+On the \(n\)-coupling problem
@@ Property / cites work: On the \(n\)-coupling problem / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal transportation under controlled stochastic dynamics
+Normal rank
@@ Property / cites work @@
+Stability of a 4th-order curvature condition arising in optimal transport theory
+Normal rank