A stochastic control approach to No-Arbitrage bounds given marginals, with an application to Lookback options
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DOI: 10.1214/13-AAP925
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References listed on IDEAS
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- Alfred Galichon, 2021. "The Unreasonable Effectiveness of Optimal Transport in Economics," SciencePo Working papers Main hal-03936221, HAL.
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- Ariel Neufeld & Antonis Papapantoleon & Qikun Xiang, 2023. "Model-Free Bounds for Multi-Asset Options Using Option-Implied Information and Their Exact Computation," Management Science, INFORMS, vol. 69(4), pages 2051-2068, April.
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- Alexander M. G. Cox & Annemarie M. Grass, 2023. "Robust option pricing with volatility term structure -- An empirical study for variance options," Papers 2312.09201, arXiv.org.
- Tongseok Lim, 2023. "Optimal exercise decision of American options under model uncertainty," Papers 2310.14473, arXiv.org, revised Nov 2023.
- Daniel Krv{s}ek & Gudmund Pammer, 2024. "General duality and dual attainment for adapted transport," Papers 2401.11958, arXiv.org.
- Tongseok Lim, 2023. "Replication of financial derivatives under extreme market models given marginals," Papers 2307.00807, arXiv.org.
- Wiesel Johannes & Zhang Erica, 2023. "An optimal transport-based characterization of convex order," Dependence Modeling, De Gruyter, vol. 11(1), pages 1-15, January.
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- Huy N. Chau & Masaaki Fukasawa & Miklós Rásonyi, 2022. "Super‐replication with transaction costs under model uncertainty for continuous processes," Mathematical Finance, Wiley Blackwell, vol. 32(4), pages 1066-1085, October.
- Alfred Galichon, 2021. "The Unreasonable Effectiveness of Optimal Transport in Economics," Working Papers hal-03936221, HAL.
- Haiyan Liu & Bin Wang & Ruodu Wang & Sheng Chao Zhuang, 2023. "Distorted optimal transport," Papers 2308.11238, arXiv.org.
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Keywords
convex duality; optimal control; volatility uncertainty;All these keywords.
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