SAMPLING OF ONE-DIMENSIONAL PROBABILITY MEASURES IN THE CONVEX ORDER AND COMPUTATION OF ROBUST OPTION PRICE BOUNDS

DOI10.1142/S021902491950002XzbMath1411.91535OpenAlexW2907633407MaRDI QIDQ5376998

Benjamin Jourdain, Jacopo Corbetta, Aurélien Alfonsi

Publication date: 21 May 2019

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s021902491950002x

zbMATH Keywords

linear programmingconvex ordermartingale optimal transportsampling techniquesrobust option price bounds

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Linear programming (90C05) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20) Software, source code, etc. for problems pertaining to game theory, economics, and finance (91-04)

Related Items (26)

Martingale Wasserstein inequality for probability measures in the convex order ⋮ Approximation of martingale couplings on the line in the adapted weak topology ⋮ Weak monotone rearrangement on the line ⋮ Weak transport for non‐convex costs and model‐independence in a fixed‐income market ⋮ Lipschitz continuity of the Wasserstein projections in the convex order on the line ⋮ On intermediate marginals in martingale optimal transportation ⋮ Quantization and martingale couplings ⋮ Functional convex order for the scaled McKean-Vlasov processes ⋮ An optimal transport-based characterization of convex order ⋮ Sampling of probability measures in the convex order by Wasserstein projection ⋮ Approximation of optimal transport problems with marginal moments constraints ⋮ ROBUST BOUNDS FOR DERIVATIVE PRICES IN MARKOVIAN MODELS ⋮ Model-Free Price Bounds Under Dynamic Option Trading ⋮ Computation of optimal transport and related hedging problems via penalization and neural networks ⋮ A new family of one dimensional martingale couplings ⋮ Optimal dual quantizers of \(1 D\log \)-concave distributions: uniqueness and Lloyd like algorithm ⋮ Tightening robust price bounds for exotic derivatives ⋮ Computational methods for martingale optimal transport problems ⋮ Robust Pricing and Hedging of Options on Multiple Assets and Its Numerics ⋮ Applications of weak transport theory ⋮ Martingale transport with homogeneous stock movements ⋮ Robust statistical arbitrage strategies ⋮ Adapted Wasserstein distances and stability in mathematical finance ⋮ Existence, duality, and cyclical monotonicity for weak transport costs ⋮ Convex order, quantization and monotone approximations of ARCH models ⋮ Stability of martingale optimal transport and weak optimal transport

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• Iterative Bregman Projections for Regularized Transportation Problems
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