Computational methods for martingale optimal transport problems (Q2299581): Difference between revisions

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+SAMPLING OF ONE-DIMENSIONAL PROBABILITY MEASURES IN THE CONVEX ORDER AND COMPUTATION OF ROBUST OPTION PRICE BOUNDS
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+Existence, duality, and cyclical monotonicity for weak transport costs
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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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+Dual attainment for the martingale transport problem
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+A computational fluid mechanics solution to the Monge-Kantorovich mass transfer problem
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+Iterative Bregman Projections for Regularized Transportation Problems
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+A model-free no-arbitrage price bound for variance options
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+Robust Hedging of Barrier Options
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+Potential Processes
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+Some results on Skorokhod embedding and robust hedging with local time
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+Robust Hedging of Double Touch Barrier Options
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+Robust pricing and hedging of double no-touch options
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+ARBITRAGE BOUNDS FOR PRICES OF WEIGHTED VARIANCE SWAPS
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+Irreducible convex paving for decomposition of multidimensional martingale transport plans
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+Local Distortion and<i>μ</i>-Mass of the Cells of One Dimensional Asymptotically Optimal Quantizers
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+Martingale optimal transport and robust hedging in continuous time
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+On the rate of convergence in Wasserstein distance of the empirical measure
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+A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options
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+Structure of optimal martingale transport plans in general dimensions
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+Foundations of quantization for probability distributions
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+Distortion mismatch in the quantization of probability measures
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+AUTOMATED OPTION PRICING: NUMERICAL METHODS
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+Robust hedging of the lookback option
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+Robust price bounds for the forward starting straddle
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+ROBUST BOUNDS FOR FORWARD START OPTIONS
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+Robust pricing-hedging dualities in continuous time
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+Stability of the shadow projection and the left-curtain coupling
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+A Numerical Algorithm for<i>L</i><sub>2</sub>Semi-Discrete Optimal Transport in 3D
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+Mass transportation problems. Vol. 1: Theory. Vol. 2: Applications
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+On a Representation of Random Variables
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+The Existence of Probability Measures with Given Marginals
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+Optimal Transport
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