Robust bounds for forward start options
From MaRDI portal
Recommendations
Cites work
- Optimal stopping and best constants for Doob-like inequalities. I: The case \(p=1\)
- Robust hedging of barrier options.
- Robust hedging of double touch barrier options
- Robust hedging of the lookback option
- Some inequalities with local times in zero of a Brownian motion
- The Existence of Certain Stopping Times on Brownian Motion
- The minimum maximum of a continuous martingale with given initial and terminal laws
- THE RANGE OF TRADED OPTION PRICES
- The Skorokhod embedding problem and its offspring
Cited in
(85)- Canonical supermartingale couplings
- Some results on Skorokhod embedding and robust hedging with local time
- Geometry of distribution-constrained optimal stopping problems
- Constrained optimal transport
- A risk-neutral equilibrium leading to uncertain volatility pricing
- Structure of optimal martingale transport plans in general dimensions
- Robust bounds for the American put
- Monotonicity preserving transformations of MOT and SEP
- Optimal martingale transport between radially symmetric marginals in general dimensions
- A new family of one dimensional martingale couplings
- Shadow martingales -- a stochastic mass transport approach to the peacock problem
- Convex order, quantization and monotone approximations of ARCH models
- A construction of the left-curtain coupling
- The potential of the shadow measure
- Stability of martingale optimal transport and weak optimal transport
- Fine properties of the optimal Skorokhod embedding problem
- Approximation of martingale couplings on the line in the adapted weak topology
- The geometry of multi-marginal Skorokhod embedding
- All adapted topologies are equal
- Martingale Benamou-Brenier: a probabilistic perspective
- Computational methods for martingale optimal transport problems
- Multiperiod martingale transport
- Pathwise versions of the Burkholder-Davis-Gundy inequality
- Optimal transport and Skorokhod embedding
- Monotone martingale transport plans and Skorokhod embedding
- Model uncertainty, recalibration, and the emergence of delta-vega hedging
- Pathwise superreplication via Vovk's outer measure
- Dual attainment for the martingale transport problem
- Irreducible convex paving for decomposition of multidimensional martingale transport plans
- The maximum maximum of a martingale with given \(n\) marginals
- On a problem of optimal transport under marginal martingale constraints
- A model-free version of the fundamental theorem of asset pricing and the super-replication theorem
- Model-independent lower bound on variance swaps
- On optimal super-hedging and sub-hedging strategies
- RANDOM TIME FORWARD-STARTING OPTIONS
- An explicit martingale version of the one-dimensional Brenier theorem
- Robust bounds for derivative prices in Markovian models
- Linking Vanillas and VIX Options: A Constrained Martingale Optimal Transport Problem
- Martingale Inequalities, Optimal Martingale Transport, and Robust Superhedging
- Model-independent bounds for option prices -- a mass transport approach
- No-arbitrage bounds for the forward smile given marginals
- Causal transport in discrete time and applications
- Martingale optimal transport and robust hedging in continuous time
- Robust price bounds for the forward starting straddle
- Martingale optimal transport in the Skorokhod space
- Shadow couplings
- Hedging with small uncertainty aversion
- Model uncertainty and the pricing of American options
- Pointwise Arbitrage Pricing Theory in Discrete Time
- Tightness and duality of martingale transport on the Skorokhod space
- Optimal Brownian stopping when the source and target are radially symmetric distributions
- On the support of extremal martingale measures with given marginals: the countable case
- Tightening robust price bounds for exotic derivatives
- A new class of costs for optimal transport planning
- No-arbitrage bounds on two one-touch options
- Root to Kellerer
- Sampling of one-dimensional probability measures in the convex order and computation of robust option price bounds
- Perturbation analysis of sub/super hedging problems
- Weak transport for non‐convex costs and model‐independence in a fixed‐income market
- Super‐replication with transaction costs under model uncertainty for continuous processes
- Geometry of vectorial martingale optimal transportations and duality
- Supermartingale Brenier's theorem with full-marginals constraint
- Stability of the weak martingale optimal transport problem
- On intermediate marginals in martingale optimal transportation
- Supermartingale shadow couplings: the decreasing case
- A potential-based construction of the increasing supermartingale coupling
- A Corrected Inexact Proximal Augmented Lagrangian Method with a Relative Error Criterion for a Class of Group-Quadratic Regularized Optimal Transport Problems
- On robust fundamental theorems of asset pricing in discrete time
- The most exciting game
- Maximal martingale Wasserstein inequality
- On Strassen's theorem for support functions
- Non-decreasing martingale couplings
- An injective martingale coupling
- Optimal sequencing depth for single-cell RNA-sequencing in Wasserstein space
- The L^2 gradient flow of the Bass functional in martingale optimal transport
- The bass functional of martingale transport
- Calibration of the bass local volatility model
- The McCormick martingale optimal transport
- Reciprocal specific relative entropy between continuous martingales
- An efficient algorithm for entropic optimal transport under martingale-type constraints
- Existence of Bass martingales and the martingale Benamou-Brenier problem in \(\mathbb{R}^d \)
- Structural properties of multi-period martingale optimal transport problems and applications
- An explicit martingale version of the one-dimensional Brenier's theorem with full marginals constraint
- A coupling proof of convex ordering for compound distributions
- Adapted Wasserstein distances and stability in mathematical finance
This page was built for publication: Robust bounds for forward start options
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4906538)