Martingale transport with homogeneous stock movements (Q4991072): Difference between revisions

@@ Property / cites work @@
+SAMPLING OF ONE-DIMENSIONAL PROBABILITY MEASURES IN THE CONVEX ORDER AND COMPUTATION OF ROBUST OPTION PRICE BOUNDS
+Normal rank
@@ Property / cites work @@
+Q5386174
@@ Property / cites work: Q5386174 / rank @@
+Normal rank
@@ Property / cites work @@
+Adapted Wasserstein distances and stability in mathematical finance
+Normal rank
@@ Property / cites work @@
+Super-replication with nonlinear transaction costs and volatility uncertainty
+Normal rank
@@ Property / cites work @@
+Robust expected utility maximization with medial limits
+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 @@
+Duality Formulas for Robust Pricing and Hedging in Discrete Time
+Normal rank
@@ Property / cites work @@
+Irreducible convex paving for decomposition of multidimensional martingale transport plans
+Normal rank
@@ Property / cites work @@
+Robust hedging with proportional transaction costs
+Normal rank
@@ Property / cites work @@
+Computation of optimal transport and related hedging problems via penalization and neural networks
+Normal rank
@@ Property / cites work @@
+Robust risk aggregation with neural networks
@@ Property / cites work: Robust risk aggregation with neural networks / rank @@
+Normal rank
@@ Property / cites work @@
+Structure of optimal martingale transport plans in general dimensions
+Normal rank
@@ Property / cites work @@
+Computational methods for martingale optimal transport problems
+Normal rank
@@ Property / cites work @@
+AUTOMATED OPTION PRICING: NUMERICAL METHODS
@@ Property / cites work: AUTOMATED OPTION PRICING: NUMERICAL METHODS / rank @@
+Normal rank
@@ Property / cites work @@
+Tightening robust price bounds for exotic derivatives
+Normal rank
@@ Property / cites work @@
+ROBUST BOUNDS FOR DERIVATIVE PRICES IN MARKOVIAN MODELS
+Normal rank
@@ Property / cites work @@
+Distributional compatibility for change of measures
+Normal rank
@@ Property / cites work @@
+Q3997904
@@ Property / cites work: Q3997904 / rank @@
+Normal rank