Sampling Of One-Dimensional Probability Measures In The Convex Order And Computation Of Robust Option Price Bounds
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DOI: 10.1142/S021902491950002X
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References listed on IDEAS
- Marco Scarsini & Alfred Muller, 2006. "Stochastic order relations and lattices of probability measures," Post-Print hal-00539119, HAL.
- David Hobson & Martin Klimmek, 2015. "Robust price bounds for the forward starting straddle," Finance and Stochastics, Springer, vol. 19(1), pages 189-214, January.
- Pierre Henry-Labordère & Nizar Touzi, 2016. "An explicit martingale version of the one-dimensional Brenier theorem," Finance and Stochastics, Springer, vol. 20(3), pages 635-668, July.
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Cited by:
- Beatrice Acciaio & Mathias Beiglböck & Gudmund Pammer, 2021. "Weak transport for non‐convex costs and model‐independence in a fixed‐income market," Mathematical Finance, Wiley Blackwell, vol. 31(4), pages 1423-1453, October.
- Sester, Julian, 2024. "A multi-marginal c-convex duality theorem for martingale optimal transport," Statistics & Probability Letters, Elsevier, vol. 210(C).
- Julio Backhoff-Veraguas & Daniel Bartl & Mathias Beiglböck & Manu Eder, 2020. "Adapted Wasserstein distances and stability in mathematical finance," Finance and Stochastics, Springer, vol. 24(3), pages 601-632, July.
- Jonathan Ansari & Eva Lutkebohmert & Ariel Neufeld & Julian Sester, 2022. "Improved Robust Price Bounds for Multi-Asset Derivatives under Market-Implied Dependence Information," Papers 2204.01071, arXiv.org, revised Sep 2023.
- Wiesel Johannes & Zhang Erica, 2023. "An optimal transport-based characterization of convex order," Dependence Modeling, De Gruyter, vol. 11(1), pages 1-15, January.
- Benjamin Jourdain & Gilles Pagès, 2022. "Convex Order, Quantization and Monotone Approximations of ARCH Models," Journal of Theoretical Probability, Springer, vol. 35(4), pages 2480-2517, December.
- Julian Sester, 2023. "On intermediate Marginals in Martingale Optimal Transportation," Papers 2307.09710, arXiv.org, revised Nov 2023.
- Ariel Neufeld & Julian Sester, 2021. "Model-free price bounds under dynamic option trading," Papers 2101.01024, arXiv.org, revised Jul 2021.
- Benjamin Jourdain & Kexin Shao, 2023. "Non-decreasing martingale couplings," Papers 2305.00565, arXiv.org.
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Keywords
Convex order; martingale optimal transport; robust option price bounds; sampling techniques; linear programming;All these keywords.
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