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Change of numeraire in the two-marginals martingale transport problem
16 references·0 citing·43 second hop
Change of numeraire in the two-marginals martingale transport problem (2016)Change of numeraire in the two-marginals …MODEL-INDEPENDENT BOUNDS FOR OPTION PRICES: A MASS TRANSPORT APPROACH (2016)MODEL-INDEPENDENT BOUNDS FOR …An explicit martingale version of the one-dimensional Brenier theorem (2016)An explicit martingale versio…Martingale optimal transport in the Skorokhod space (2015)Martingale optimal transport …Robust price bounds for the forward starting straddle (2014)Robust price bounds for the f…Martingale optimal transport and robust hedging in continuous time (2013)Martingale optimal transport …Martingale Optimal Transport and Robust Hedging in Continuous Time (2013)Martingale Optimal Transport …The Skorokhod Embedding Problem and Model-Independent Bounds for Option Prices (2010)The Skorokhod Embedding Probl…Mathematical Methods for Financial Markets (2010)Mathematical Methods for Fina…Symmetric martingales and symmetric smiles (2009)Symmetric martingales and sym…PUT‐CALL SYMMETRY: EXTENSIONS AND APPLICATIONS (2009)PUT‐CALL SYMMETRY: EXTENSIONS…Mathematical Methods for Financial Markets (2009)Mathematical Methods for Fina…Forward-Start Options in Stochastic Volatility Model (2003)Forward-Start Options in Stoc…Robust hedging of the lookback option (1998)Robust hedging of the lookbac…OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL1 (1996)OPTION HEDGING AND IMPLIED VO…Changes of numéraire, changes of probability measure and option pricing (1995)Changes of numéraire, changes…An Exact Bond Option Formula (1989)An Exact Bond Option FormulaBESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES (1993)Limit Theorems for Stochastic Processes (2003)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)Monte Carlo and Quasi-Monte Carlo Methods (2013)Deep Attentive Learning for Stock Movement Prediction From Social Media Text and Company Correlations (2020)Prices of State-Contingent Claims Implicit in Option Prices (1978)Continuous Martingales and Brownian Motion (1999)Stochastic Finance: An Introduction in Discrete Time (2002)A MODEL‐FREE VERSION OF THE FUNDAMENTAL THEOREM OF ASSET PRICING AND THE SUPER‐REPLICATION THEOREM (2013)Optimal transportation under controlled stochastic dynamics (2013)Brownian Motion and Stochastic Calculus (1998)Stochastic Integration and Differential Equations (2005)Brownian Motion and Stochastic Calculus (2007)Divergence and the Price of Uncertainty* (2018)Static hedging and pricing of exotic options with payoff frames (2018)Volatility has to be rough (2020)The Pricing of Options and Corporate Liabilities (1973)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Contingent Claims and Market Completeness in a Stochastic Volatility Model (1997)Closed-Form Solutions for Perpetual American Put Options with Regime Switching (2004)On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility (2007)Options and Efficiency (1976)Options, Futures, and Other Derivative Securities. (1990)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options (2014)Arbitrage and duality in nondominated discrete-time models (2015)Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)Bond and Option Pricing when Short Rates are Lognormal (1991)Option pricing by Esscher transforms. (1995)Transform Analysis and Asset Pricing for Affine Jump-Diffusions (1999)Theory of rational option pricing (2005)A general version of the fundamental theorem of asset pricing (1994)Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market (1995)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)ROBUST FUNDAMENTAL THEOREM FOR CONTINUOUS PROCESSES (2015)Adapted Wasserstein distances and stability in mathematical finance (2020)Closed Form Solutions for Term Structure Derivatives with Log‐Normal Interest Rates (1997)LIBOR and swap market models and measures (1997)Time-changed Lévy processes and option pricing (2003)A jump to default extended CEV model: an application of Bessel processes (2006)PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH (2008)
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References

  • 1995Changes of numéraire, changes of probability measure and option pricing808 cited
  • 1989An Exact Bond Option Formula731 cited
  • 2009Mathematical Methods for Financial Markets638 cited
  • 2010Mathematical Methods for Financial Markets482 cited
  • 2016MODEL-INDEPENDENT BOUNDS FOR OPTION PRICES: A MASS TRANSPORT APPROACH358 cited
  • 1998Robust hedging of the lookback option279 cited
  • 1996OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL1240 cited
  • 2010The Skorokhod Embedding Problem and Model-Independent Bounds for Option Prices224 cited
  • 2013Martingale optimal transport and robust hedging in continuous time218 cited
  • 2009PUT‐CALL SYMMETRY: EXTENSIONS AND APPLICATIONS123 cited
  • 2014Robust price bounds for the forward starting straddle82 cited
  • 2016An explicit martingale version of the one-dimensional Brenier theorem75 cited
  • 2013Martingale Optimal Transport and Robust Hedging in Continuous Time54 cited
  • 2015Martingale optimal transport in the Skorokhod space53 cited
  • 2003Forward-Start Options in Stochastic Volatility Model39 cited
  • 2009

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Symmetric martingales and symmetric smiles
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