Pages that link to "Item:Q2443194"
From MaRDI portal
The following pages link to A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options (Q2443194):
Displayed 50 items.
- The maximum maximum of a martingale with given \(n\) marginals (Q259564) (← links)
- On a problem of optimal transport under marginal martingale constraints (Q272939) (← links)
- An explicit martingale version of the one-dimensional Brenier theorem (Q309163) (← links)
- Discrete Wasserstein barycenters: optimal transport for discrete data (Q343818) (← links)
- Model-independent bounds for option prices -- a mass transport approach (Q354188) (← links)
- A model-free no-arbitrage price bound for variance options (Q373003) (← links)
- Optimal transportation under controlled stochastic dynamics (Q378799) (← links)
- Multi-marginal optimal transport and multi-agent matching problems: uniqueness and structure of solutions (Q379834) (← links)
- Martingale optimal transport and robust hedging in continuous time (Q466902) (← links)
- Robust hedging with proportional transaction costs (Q468414) (← links)
- Robust price bounds for the forward starting straddle (Q486935) (← links)
- Martingale optimal transport in the Skorokhod space (Q492958) (← links)
- Hedging with small uncertainty aversion (Q503389) (← links)
- Tightness and duality of martingale transport on the Skorokhod space (Q511137) (← links)
- An explicit martingale version of the one-dimensional Brenier's theorem with full marginals constraint (Q737181) (← links)
- Root's barrier, viscosity solutions of obstacle problems and reflected FBSDEs (Q744977) (← links)
- Adapted Wasserstein distances and stability in mathematical finance (Q784732) (← links)
- Canonical supermartingale couplings (Q1621445) (← links)
- Some results on Skorokhod embedding and robust hedging with local time (Q1626510) (← links)
- Geometry of distribution-constrained optimal stopping problems (Q1626603) (← links)
- From optimal stopping boundaries to Rost's reversed barriers and the Skorokhod embedding (Q1650132) (← links)
- Robust pricing-hedging dualities in continuous time (Q1650938) (← links)
- Constrained optimal transport (Q1702545) (← links)
- A risk-neutral equilibrium leading to uncertain volatility pricing (Q1709602) (← links)
- Structure of optimal martingale transport plans in general dimensions (Q1731886) (← links)
- Robust bounds for the American put (Q1739057) (← links)
- Monotonicity preserving transformations of MOT and SEP (Q1743337) (← links)
- Optimal martingale transport between radially symmetric marginals in general dimensions (Q1986007) (← links)
- Duality for pathwise superhedging in continuous time (Q1999600) (← links)
- Computation of optimal transport and related hedging problems via penalization and neural networks (Q2020305) (← links)
- A new family of one dimensional martingale couplings (Q2024524) (← links)
- Geometry of Kantorovich polytopes and support of optimizers for repulsive multi-marginal optimal transport on finite state spaces (Q2033155) (← links)
- Peacock geodesics in Wasserstein space (Q2041093) (← links)
- Transport plans with domain constraints (Q2045149) (← links)
- Applications of weak transport theory (Q2073218) (← links)
- Convex order, quantization and monotone approximations of ARCH models (Q2100004) (← links)
- A construction of the left-curtain coupling (Q2105148) (← links)
- Martingale Schrödinger bridges and optimal semistatic portfolios (Q2111249) (← links)
- The potential of the shadow measure (Q2113271) (← links)
- Stability of martingale optimal transport and weak optimal transport (Q2117461) (← links)
- Fine properties of the optimal Skorokhod embedding problem (Q2119390) (← links)
- A scaling limit for utility indifference prices in the discretised Bachelier model (Q2120544) (← links)
- The directional optimal transport (Q2135274) (← links)
- Martingale Wasserstein inequality for probability measures in the convex order (Q2136998) (← links)
- Approximation of martingale couplings on the line in the adapted weak topology (Q2140003) (← links)
- The geometry of multi-marginal Skorokhod embedding (Q2174667) (← links)
- Fundamental properties of process distances (Q2196379) (← links)
- All adapted topologies are equal (Q2210750) (← links)
- Martingale Benamou-Brenier: a probabilistic perspective (Q2212593) (← links)
- Superreplication under model uncertainty in discrete time (Q2255006) (← links)