Computational methods for martingale optimal transport problems
From MaRDI portal
Publication:2299581
DOI10.1214/19-AAP1481zbMATH Open1433.49043arXiv1710.07911OpenAlexW3000038523MaRDI QIDQ2299581FDOQ2299581
Authors: Gaoyue Guo, Jan Obłój 
Publication date: 21 February 2020
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Abstract: We establish numerical methods for solving the martingale optimal transport problem (MOT) - a version of the classical optimal transport with an additional martingale constraint on transport's dynamics. We prove that the MOT value can be approximated using linear programming (LP) problems which result from a discretisation of the marginal distributions combined with a suitable relaxation of the martingale constraint. Specialising to dimension one, we provide bounds on the convergence rate of the above scheme. We also show a stability result under only partial specification of the marginal distributions. Finally, we specialise to a particular discretisation scheme which preserves the convex ordering and does not require the martingale relaxation. We introduce an entropic regularisation for the corresponding LP problem and detail the corresponding iterative Bregman projection. We also rewrite its dual problem as a minimisation problem without constraint and solve it by computing the concave envelope of scattered data.
Full work available at URL: https://arxiv.org/abs/1710.07911
Recommendations
- Martingale optimal transport in the discrete case via simple linear programming techniques
- On a problem of optimal transport under marginal martingale constraints
- Martingale optimal transport with stopping
- Approximation of optimal transport problems with marginal moments constraints
- Stability of martingale optimal transport and weak optimal transport
linear programmingdualitymartingale optimal transportrobust hedgingdiscretization of measuremartingale relaxation
Discrete approximations in optimal control (49M25) Special problems of linear programming (transportation, multi-index, data envelopment analysis, etc.) (90C08) Manifolds and measure-geometric topics (49Q99) Martingales and classical analysis (60G46) Stochastic analysis (60H99)
Cites Work
- Optimal Transport
- Mass transportation problems. Vol. 1: Theory. Vol. 2: Applications
- A computational fluid mechanics solution to the Monge-Kantorovich mass transfer problem
- Foundations of quantization for probability distributions
- Robust hedging of the lookback option
- A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options
- Robust hedging of barrier options.
- Arbitrage bounds for prices of weighted variance swaps
- Robust hedging of double touch barrier options
- Model-independent bounds for option prices -- a mass transport approach
- A model-free no-arbitrage price bound for variance options
- Martingale optimal transport and robust hedging in continuous time
- Robust pricing and hedging of double no-touch options
- Robust bounds for forward start options
- On the rate of convergence in Wasserstein distance of the empirical measure
- AUTOMATED OPTION PRICING: NUMERICAL METHODS
- The Existence of Probability Measures with Given Marginals
- On a problem of optimal transport under marginal martingale constraints
- Iterative Bregman projections for regularized transportation problems
- Robust pricing-hedging dualities in continuous time
- Distortion mismatch in the quantization of probability measures
- Potential Processes
- Local Distortion andμ-Mass of the Cells of One Dimensional Asymptotically Optimal Quantizers
- On a Representation of Random Variables
- Robust price bounds for the forward starting straddle
- Stability of the shadow projection and the left-curtain coupling
- A numerical algorithm for \(L_2\) semi-discrete optimal transport in 3D
- Existence, duality, and cyclical monotonicity for weak transport costs
- Sampling of one-dimensional probability measures in the convex order and computation of robust option price bounds
- Structure of optimal martingale transport plans in general dimensions
- Some results on Skorokhod embedding and robust hedging with local time
- Dual attainment for the martingale transport problem
- Irreducible convex paving for decomposition of multidimensional martingale transport plans
Cited In (42)
- Convex order, quantization and monotone approximations of ARCH models
- Model-free price bounds under dynamic option trading
- A new family of one dimensional martingale couplings
- Continuity of the martingale optimal transport problem on the real line
- Stability of the weak martingale optimal transport problem
- Robust statistical arbitrage strategies
- A multi-marginal c-convex duality theorem for martingale optimal transport
- On intermediate marginals in martingale optimal transportation
- Instability of martingale optimal transport in dimension \(\mathrm{d}\ge 2\)
- On entropy martingale optimal transport theory
- On the stability of the martingale optimal transport problem: a set-valued map approach
- Structure of optimal martingale transport plans in general dimensions
- Path dependent optimal transport and model calibration on exotic derivatives
- Robust bounds for derivative prices in Markovian models
- Connecting GANs, mean-field games, and optimal transport
- Martingale Wasserstein inequality for probability measures in the convex order
- Computation of optimal transport and related hedging problems via penalization and neural networks
- Approximation of martingale couplings on the line in the adapted weak topology
- Toric geometry of entropic regularization
- Perturbation analysis of sub/super hedging problems
- Sampling of probability measures in the convex order by Wasserstein projection
- Stationarity and uniform in time convergence for the graphon particle system
- Dispersion-constrained martingale Schrödinger problems and the exact joint S\&P 500/VIX smile calibration puzzle
- An optimal transport-based characterization of convex order
- Backward and forward Wasserstein projections in stochastic order
- Optimal dual quantizers of \(1 D\log \)-concave distributions: uniqueness and Lloyd like algorithm
- Improved robust price bounds for multi-asset derivatives under market-implied dependence information
- Martingale optimal transport with stopping
- Inversion of convex ordering in the VIX market
- Tightening robust price bounds for exotic derivatives
- Strong equivalence between metrics of Wasserstein type
- A Corrected Inexact Proximal Augmented Lagrangian Method with a Relative Error Criterion for a Class of Group-Quadratic Regularized Optimal Transport Problems
- Stability of martingale optimal transport and weak optimal transport
- Martingale Benamou-Brenier: a probabilistic perspective
- Martingale optimal transport in the discrete case via simple linear programming techniques
- Quantization and martingale couplings
- Martingale transport with homogeneous stock movements
- Proxying credit curves via Wasserstein distances
- Entropy martingale optimal transport and nonlinear pricing-hedging duality
- Martingale Schrödinger bridges and optimal semistatic portfolios
- Robust pricing and hedging of options on multiple assets and its numerics
- Computational methods for adapted optimal transport
This page was built for publication: Computational methods for martingale optimal transport problems
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2299581)
