On the improvement of robust price bounds

DOI10.6094/UNIFR/151466MaRDI QIDQ5205929zbMATH OpenFDO

Authors Julian Sester

Publication date 17 December 2019

Full work available at URL https://doi.org/10.6094/UNIFR/151466

zbMATH Keywords

market-implied price informationoptimal martingale transportprice bounds of exotic derivativesunderlying securities

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• Tightening robust price bounds for exotic derivatives
• Robust bounds for derivative prices in Markovian models
• Model-free price bounds under dynamic option trading
• Model-independent bounds for option prices -- a mass transport approach
• Martingale transport with homogeneous stock movements

Cited in

(4)

• Robust pricing under strategic trading
• Robust bounds for derivative prices in Markovian models
• Tightening robust price bounds for exotic derivatives
• Improved robust price bounds for multi-asset derivatives under market-implied dependence information

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