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Computational Methods for Martingale Optimal Transport problems

Citations

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Cited by:

  1. Bayraktar, Erhan & Wu, Ruoyu, 2022. "Stationarity and uniform in time convergence for the graphon particle system," Stochastic Processes and their Applications, Elsevier, vol. 150(C), pages 532-568.
  2. Marcel Nutz & Johannes Wiesel & Long Zhao, 2023. "Martingale Schrödinger bridges and optimal semistatic portfolios," Finance and Stochastics, Springer, vol. 27(1), pages 233-254, January.
  3. Sergey Badikov & Mark H. A. Davis & Antoine Jacquier, 2018. "Perturbation analysis of sub/super hedging problems," Papers 1806.03543, arXiv.org, revised May 2021.
  4. Mathias Beiglbock & Benjamin Jourdain & William Margheriti & Gudmund Pammer, 2021. "Stability of the Weak Martingale Optimal Transport Problem," Papers 2109.06322, arXiv.org, revised Apr 2022.
  5. Bingyan Han, 2022. "Distributionally robust risk evaluation with a causality constraint and structural information," Papers 2203.10571, arXiv.org, revised Aug 2024.
  6. Linn Engstrom & Sigrid Kallblad & Johan Karlsson, 2024. "Computation of Robust Option Prices via Structured Multi-Marginal Martingale Optimal Transport," Papers 2406.09959, arXiv.org.
  7. Stephan Eckstein & Michael Kupper, 2019. "Martingale transport with homogeneous stock movements," Papers 1908.10242, arXiv.org, revised May 2021.
  8. Julien Guyon, 2020. "Inversion of convex ordering in the VIX market," Quantitative Finance, Taylor & Francis Journals, vol. 20(10), pages 1597-1623, October.
  9. Hadrien De March & Pierre Henry-Labordere, 2019. "Building arbitrage-free implied volatility: Sinkhorn's algorithm and variants," Papers 1902.04456, arXiv.org, revised Jul 2023.
  10. 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.
  11. Stephan Eckstein & Michael Kupper, 2018. "Computation of optimal transport and related hedging problems via penalization and neural networks," Papers 1802.08539, arXiv.org, revised Jan 2019.
  12. Wiesel Johannes & Zhang Erica, 2023. "An optimal transport-based characterization of convex order," Dependence Modeling, De Gruyter, vol. 11(1), pages 1-15, January.
  13. Alessandro Doldi & Marco Frittelli & Emanuela Rosazza Gianin, 2024. "On entropy martingale optimal transport theory," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 47(1), pages 1-42, June.
  14. Stephan Eckstein & Gaoyue Guo & Tongseok Lim & Jan Obloj, 2019. "Robust pricing and hedging of options on multiple assets and its numerics," Papers 1909.03870, arXiv.org, revised Oct 2020.
  15. Marcel Nutz & Johannes Wiesel, 2024. "On the Martingale Schr\"odinger Bridge between Two Distributions," Papers 2401.05209, arXiv.org.
  16. Alessandro Doldi & Marco Frittelli, 2023. "Entropy martingale optimal transport and nonlinear pricing–hedging duality," Finance and Stochastics, Springer, vol. 27(2), pages 255-304, April.
  17. Joshua Zoen-Git Hiew & Tongseok Lim & Brendan Pass & Marcelo Cruz de Souza, 2023. "Geometry of vectorial martingale optimal transport and robust option pricing," Papers 2309.04947, arXiv.org, revised Sep 2023.
  18. 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.
  19. Julian Sester, 2023. "On intermediate Marginals in Martingale Optimal Transportation," Papers 2307.09710, arXiv.org, revised Nov 2023.
  20. Zhengqing Zhou & Jose Blanchet & Peter W. Glynn, 2021. "Distributionally Robust Martingale Optimal Transport," Papers 2106.07191, arXiv.org, revised Nov 2021.
  21. Ariel Neufeld & Julian Sester, 2021. "On the stability of the martingale optimal transport problem: A set-valued map approach," Papers 2102.02718, arXiv.org, revised Apr 2021.
  22. Julio Backhoff-Veraguas & Gudmund Pammer, 2019. "Stability of martingale optimal transport and weak optimal transport," Papers 1904.04171, arXiv.org, revised Dec 2020.
  23. Sergey Badikov & Mark H.A. Davis & Antoine Jacquier, 2021. "Perturbation analysis of sub/super hedging problems," Mathematical Finance, Wiley Blackwell, vol. 31(4), pages 1240-1274, October.
  24. Neufeld, Ariel & Sester, Julian, 2021. "On the stability of the martingale optimal transport problem: A set-valued map approach," Statistics & Probability Letters, Elsevier, vol. 176(C).
  25. Ariel Neufeld & Julian Sester, 2021. "Model-free price bounds under dynamic option trading," Papers 2101.01024, arXiv.org, revised Jul 2021.
  26. Jonathan Ansari & Eva Lütkebohmert & Ariel Neufeld & Julian Sester, 2024. "Improved robust price bounds for multi-asset derivatives under market-implied dependence information," Finance and Stochastics, Springer, vol. 28(4), pages 911-964, October.
  27. Marcel Nutz & Johannes Wiesel & Long Zhao, 2022. "Martingale Schr\"odinger Bridges and Optimal Semistatic Portfolios," Papers 2204.12250, arXiv.org.
  28. Teemu Pennanen & Udomsak Rakwongwan, 2020. "Optimal semi-static hedging in illiquid markets," Papers 2008.01463, arXiv.org.
  29. Ariel Neufeld & Julian Sester, 2021. "A deep learning approach to data-driven model-free pricing and to martingale optimal transport," Papers 2103.11435, arXiv.org, revised Dec 2022.
  30. Beatrice Acciaio & Julio Backhoff & Gudmund Pammer, 2022. "Quantitative Fundamental Theorem of Asset Pricing," Papers 2209.15037, arXiv.org, revised Jan 2024.
  31. Sester, Julian, 2024. "A multi-marginal c-convex duality theorem for martingale optimal transport," Statistics & Probability Letters, Elsevier, vol. 210(C).
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