The left-curtain martingale coupling in the presence of atoms

DOI10.1214/18-AAP1450zbMath1427.60073arXiv1802.08337OpenAlexW2963012338WikidataQ128340758 ScholiaQ128340758MaRDI QIDQ2415517

Dominykas Norgilas, David G. Hobson

Publication date: 22 May 2019

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1802.08337

zbMATH Keywords

optimal stoppingmartingale optimal transportmodel-independent pricingAmerican put

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (11)

Supermartingale Brenier's theorem with full-marginals constraint ⋮ On intermediate marginals in martingale optimal transportation ⋮ Supermartingale shadow couplings: the decreasing case ⋮ A potential-based construction of the increasing supermartingale coupling ⋮ ROBUST BOUNDS FOR DERIVATIVE PRICES IN MARKOVIAN MODELS ⋮ Robust bounds for the American put ⋮ On the stability of the martingale optimal transport problem: a set-valued map approach ⋮ Martingale optimal transport in the discrete case via simple linear programming techniques ⋮ Shadow couplings ⋮ A construction of the left-curtain coupling ⋮ The potential of the shadow measure

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