Martingale transport with homogeneous stock movements
From MaRDI portal
(Redirected from Martingale transport with homogeneous stock movements)
Abstract: We study a variant of the martingale optimal transport problem in a multi-period setting to derive robust price bounds of a financial derivative. On top of marginal and martingale constraints, we introduce a time-homogeneity assumption, which restricts the variability of the forward-looking transitions of the martingale across time. We provide a dual formulation in terms of superhedging and discuss relaxations of the time-homogeneity assumption by adding market frictions. In financial terms, the introduced time-homogeneity corresponds to a time-consistency condition for call prices, given the state of the stock. The time homogeneity assumption leads to improved price bounds as market data from many time points can be incorporated effectively. The approach is illustrated with two numerical examples.
Recommendations
- Martingale optimal transport and robust hedging in continuous time
- Robust bounds for derivative prices in Markovian models
- Robust pricing and hedging around the globe
- Martingale optimal transport in the Skorokhod space
- Martingale optimal transport in the discrete case via simple linear programming techniques
Cites work
- Adapted Wasserstein distances and stability in mathematical finance
- AUTOMATED OPTION PRICING: NUMERICAL METHODS
- Computation of optimal transport and related hedging problems via penalization and neural networks
- Computational methods for martingale optimal transport problems
- Distributional compatibility for change of measures
- Duality Formulas for Robust Pricing and Hedging in Discrete Time
- scientific article; zbMATH DE number 49097 (Why is no real title available?)
- Infinite dimensional analysis. A hitchhiker's guide.
- Irreducible convex paving for decomposition of multidimensional martingale transport plans
- Model-independent bounds for option prices -- a mass transport approach
- On a problem of optimal transport under marginal martingale constraints
- Robust bounds for derivative prices in Markovian models
- Robust expected utility maximization with medial limits
- Robust hedging with proportional transaction costs
- Robust risk aggregation with neural networks
- 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
- Super-replication with nonlinear transaction costs and volatility uncertainty
- Tightening robust price bounds for exotic derivatives
Cited in
(10)- Robust bounds for derivative prices in Markovian models
- Model-free price bounds under dynamic option trading
- On the improvement of robust price bounds
- Tightening robust price bounds for exotic derivatives
- Change of numeraire in the two-marginals martingale transport problem
- On intermediate marginals in martingale optimal transportation
- A multi-marginal c-convex duality theorem for martingale optimal transport
- Improved robust price bounds for multi-asset derivatives under market-implied dependence information
- Computation of robust option prices via structured multimarginal martingale optimal transport
- The McCormick martingale optimal transport
This page was built for publication: Martingale transport with homogeneous stock movements
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4991072)
