Model-independent bounds for option prices -- a mass transport approach

DOI10.1007/s00780-013-0205-8zbMath1277.91162arXiv1106.5929OpenAlexW3122203059MaRDI QIDQ354188

Friedrich Penkner, Pierre Henry-Labordère, Mathias Beiglböck

Publication date: 18 July 2013

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1106.5929

zbMATH Keywords

minimax duality model-independent pricing lower semi-continuouity martingale transport plan Monge-Kantorovich transport problem option arbitrage semi-static subhedging

Mathematics Subject Classification ID

Special problems of linear programming (transportation, multi-index, data envelopment analysis, etc.) (90C08) Variational problems in a geometric measure-theoretic setting (49Q20) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (only showing first 100 items - show all)

Constrained overdamped Langevin dynamics for symmetric multimarginal optimal transportation ⋮ Robust deep hedging ⋮ Convergence of utility indifference prices to the superreplication price in a multiple‐priors framework ⋮ Perturbation analysis of sub/super hedging problems ⋮ Weak transport for non‐convex costs and model‐independence in a fixed‐income market ⋮ Distributionally robust portfolio maximization and marginal utility pricing in one period financial markets ⋮ Super‐replication with transaction costs under model uncertainty for continuous processes ⋮ Limits of semistatic trading strategies ⋮ On utility maximization under model uncertainty in discrete‐time markets ⋮ Weak Optimal Transport with Unnormalized Kernels ⋮ Entropic Optimal Planning for Path-Dependent Mean Field Games ⋮ Lipschitz continuity of the Wasserstein projections in the convex order on the line ⋮ Pointwise Arbitrage Pricing Theory in Discrete Time ⋮ Geometry of vectorial martingale optimal transportations and duality ⋮ Shadows and barriers ⋮ Supermartingale Brenier's theorem with full-marginals constraint ⋮ A strong duality principle for equivalence couplings and total variation ⋮ Continuity of the martingale optimal transport problem on the real line ⋮ Stability of the weak martingale optimal transport problem ⋮ On intermediate marginals in martingale optimal transportation ⋮ Quantization and martingale couplings ⋮ Robust Framework for Quantifying the Value of Information in Pricing and Hedging ⋮ One Dimensional Martingale Rearrangement Couplings ⋮ Supermartingale shadow couplings: the decreasing case ⋮ 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 ⋮ A potential-based construction of the increasing supermartingale coupling ⋮ Uncertainty Quantification of Derivative Instruments ⋮ SAMPLING OF ONE-DIMENSIONAL PROBABILITY MEASURES IN THE CONVEX ORDER AND COMPUTATION OF ROBUST OPTION PRICE BOUNDS ⋮ Optimal Brownian Stopping When the Source and Target Are Radially Symmetric Distributions ⋮ Approximation of optimal transport problems with marginal moments constraints ⋮ Unnamed Item ⋮ AUTOMATED OPTION PRICING: NUMERICAL METHODS ⋮ Model-Free Price Bounds Under Dynamic Option Trading ⋮ On the support of extremal martingale measures with given marginals: the countable case ⋮ Tightening robust price bounds for exotic derivatives ⋮ No-Arbitrage and Hedging with Liquid American Options ⋮ Compactness criterion for semimartingale laws and semimartingale optimal transport ⋮ Nonexistence of Optimal Transport Maps for the Multimarginal Repulsive Harmonic Cost ⋮ Semi-static variance-optimal hedging in stochastic volatility models with Fourier representation ⋮ Robust statistical arbitrage strategies ⋮ Shadow couplings ⋮ CONSISTENT UPPER PRICE BOUNDS FOR EXOTIC OPTIONS ⋮ A new class of costs for optimal transport planning ⋮ A Simple Counterexample to the Monge Ansatz in Multimarginal Optimal Transport, Convex Geometry of the Set of Kantorovich Plans, and the Frenkel--Kontorova Model ⋮ BOUNDS ON MULTI-ASSET DERIVATIVES VIA NEURAL NETWORKS ⋮ On Hedging American Options under Model Uncertainty ⋮ Joint Modeling and Calibration of SPX and VIX by Optimal Transport ⋮ Model-independent pricing with insider information: a skorokhod embedding approach ⋮ Fine properties of the optimal Skorokhod embedding problem ⋮ On the Monge-Kantorovich problem with additional linear constraints ⋮ On a problem of optimal transport under marginal martingale constraints ⋮ Bounds for VIX futures given S{\&}P 500 smiles ⋮ The space of outcomes of semi-static trading strategies need not be closed ⋮ Canonical supermartingale couplings ⋮ Some results on Skorokhod embedding and robust hedging with local time ⋮ Geometry of distribution-constrained optimal stopping problems ⋮ The directional optimal transport ⋮ Instability of martingale optimal transport in dimension \(\mathrm{d}\ge 2\) ⋮ Martingale Wasserstein inequality for probability measures in the convex order ⋮ The geometry of relative arbitrage ⋮ Approximation of martingale couplings on the line in the adapted weak topology ⋮ An explicit martingale version of the one-dimensional Brenier theorem ⋮ Robust pricing and hedging under trading restrictions and the emergence of local martingale models ⋮ Breaking the Curse of Dimension in Multi-Marginal Kantorovich Optimal Transport on Finite State Spaces ⋮ Linking Vanillas and VIX Options: A Constrained Martingale Optimal Transport Problem ⋮ No-arbitrage bounds for the forward smile given marginals ⋮ Robust pricing-hedging dualities in continuous time ⋮ Discrete Wasserstein barycenters: optimal transport for discrete data ⋮ Monotone martingale transport plans and Skorokhod embedding ⋮ The geometry of multi-marginal Skorokhod embedding ⋮ Martingale optimal transport duality ⋮ Multi-marginal optimal transport and multi-agent matching problems: uniqueness and structure of solutions ⋮ Model uncertainty, recalibration, and the emergence of delta-vega hedging ⋮ Pathwise superreplication via Vovk's outer measure ⋮ Pathwise superhedging under proportional transaction costs ⋮ Dual attainment for the martingale transport problem ⋮ Model-Independent Bounds for Asian Options: A Dynamic Programming Approach ⋮ Convex duality in nonlinear optimal transport ⋮ Irreducible convex paving for decomposition of multidimensional martingale transport plans ⋮ Distribution functions, extremal limits and optimal transport ⋮ Fundamental properties of process distances ⋮ Causal Transport in Discrete Time and Applications ⋮ Constrained optimal transport ⋮ Duality Formulas for Robust Pricing and Hedging in Discrete Time ⋮ Entropy martingale optimal transport and nonlinear pricing-hedging duality ⋮ A risk-neutral equilibrium leading to uncertain volatility pricing ⋮ ROBUST TRADING OF IMPLIED SKEW ⋮ All adapted topologies are equal ⋮ The Riesz representation theorem and weak\(^\ast\) compactness of semimartingales ⋮ Martingale Benamou-Brenier: a probabilistic perspective ⋮ A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options ⋮ A pointwise bipolar theorem ⋮ Martingale optimal transport and robust hedging in continuous time ⋮ Robust hedging with proportional transaction costs ⋮ Efficient hedging under ambiguity in continuous time ⋮ Sampling of probability measures in the convex order by Wasserstein projection ⋮ Structure of optimal martingale transport plans in general dimensions ⋮ Robust price bounds for the forward starting straddle

Cites Work

This page was built for publication: Model-independent bounds for option prices -- a mass transport approach