Computational methods for martingale optimal transport problems
From MaRDI portal
Publication:2299581
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.
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
Cites work
- A computational fluid mechanics solution to the Monge-Kantorovich mass transfer problem
- A model-free no-arbitrage price bound for variance options
- A numerical algorithm for \(L_2\) semi-discrete optimal transport in 3D
- A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options
- AUTOMATED OPTION PRICING: NUMERICAL METHODS
- Arbitrage bounds for prices of weighted variance swaps
- Distortion mismatch in the quantization of probability measures
- Dual attainment for the martingale transport problem
- Existence, duality, and cyclical monotonicity for weak transport costs
- Foundations of quantization for probability distributions
- Irreducible convex paving for decomposition of multidimensional martingale transport plans
- Iterative Bregman projections for regularized transportation problems
- Local Distortion andμ-Mass of the Cells of One Dimensional Asymptotically Optimal Quantizers
- Martingale optimal transport and robust hedging in continuous time
- Mass transportation problems. Vol. 1: Theory. Vol. 2: Applications
- Model-independent bounds for option prices -- a mass transport approach
- On a Representation of Random Variables
- On a problem of optimal transport under marginal martingale constraints
- On the rate of convergence in Wasserstein distance of the empirical measure
- Optimal Transport
- Potential Processes
- Robust bounds for forward start options
- Robust hedging of barrier options.
- Robust hedging of double touch barrier options
- Robust hedging of the lookback option
- Robust price bounds for the forward starting straddle
- Robust pricing and hedging of double no-touch options
- Robust pricing-hedging dualities in continuous time
- Sampling of one-dimensional probability measures in the convex order and computation of robust option price bounds
- Some results on Skorokhod embedding and robust hedging with local time
- Stability of the shadow projection and the left-curtain coupling
- Structure of optimal martingale transport plans in general dimensions
- The Existence of Probability Measures with Given Marginals
Cited in
(43)- Robust pricing and hedging of options on multiple assets and its numerics
- Computational methods for adapted optimal transport
- Convex order, quantization and monotone approximations of ARCH models
- A new family of one dimensional martingale couplings
- Model-free price bounds under dynamic option trading
- 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 the stability of the martingale optimal transport problem: a set-valued map approach
- On entropy martingale optimal transport theory
- 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
- Martingale Wasserstein inequality for probability measures in the convex order
- Computation of optimal transport and related hedging problems via penalization and neural networks
- Connecting GANs, mean-field games, and optimal transport
- 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
- Optimal dual quantizers of \(1 D\log \)-concave distributions: uniqueness and Lloyd like algorithm
- 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
- 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
- Martingale Schrödinger bridges and optimal semistatic portfolios
- Entropy martingale optimal transport and nonlinear pricing-hedging duality
- Optimal ecological transition path of a credit portfolio distribution, based on multidate Monge-Kantorovich formulation
- Proxying credit curves via Wasserstein distances
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)
