Model-Free Hedging
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Publication:4632504
Derivative securities (option pricing, hedging, etc.) (91G20) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Martingales and classical analysis (60G46)
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Cited in
(25)- Linking Vanillas and VIX Options: A Constrained Martingale Optimal Transport Problem
- Bounds on Choquet risk measures in finite product spaces with ambiguous marginals
- A multi-marginal c-convex duality theorem for martingale optimal transport
- On intermediate marginals in martingale optimal transportation
- A pointwise bipolar theorem
- Optimal martingale transport between radially symmetric marginals in general dimensions
- Instability of martingale optimal transport in dimension \(\mathrm{d}\ge 2\)
- On multistochastic Monge-Kantorovich problem, bitwise operations, and fractals
- The multistochastic Monge-Kantorovich problem
- Approximation of optimal transport problems with marginal moments constraints
- Robust bounds for derivative prices in Markovian models
- Shadow martingales -- a stochastic mass transport approach to the peacock problem
- A model-free approach to multivariate option pricing
- Portfolio optimization with a prescribed terminal wealth distribution
- A solution to the Monge transport problem for Brownian martingales
- Dispersion-constrained martingale Schrödinger problems and the exact joint S\&P 500/VIX smile calibration puzzle
- Improved robust price bounds for multi-asset derivatives under market-implied dependence information
- Semi-robust replication of barrier-style claims on price and volatility
- On the convergence rate of potentials of Brenier maps
- Peacock geodesics in Wasserstein space
- Inversion of convex ordering in the VIX market
- Robust matching for teams
- Tightening robust price bounds for exotic derivatives
- Entropy martingale optimal transport and nonlinear pricing-hedging duality
- Change of numeraire in the two-marginals martingale transport problem
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