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Stability of the shadow projection and the left-curtain coupling
5 references·1 citing·18 second hop
Stability of the shadow projection and the left-curtain coupling (2016)Stability of the shadow projection and th…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…A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options (2014)A stochastic control approach…A new proof of Kellerer’s theorem (2011)A new proof of Kellerer’s the…ROBUST BOUNDS FOR FORWARD START OPTIONS (2010)ROBUST BOUNDS FOR FORWARD STA…Continuity of the martingale optimal transport problem on the real line (2023)Continuity of the martingale …Peacocks and Associated Martingales, with Explicit Constructions (2011)An explicit martingale version of the one-dimensional Brenier’s Theorem with full marginals constraint (2016)Tightness and duality of martingale transport on the Skorokhod space (2016)Optimal Skorokhod embedding given full marginals and Azéma–Yor peacocks (2017)Prices of State-Contingent Claims Implicit in Option Prices (1978)Stochastic Finance: An Introduction in Discrete Time (2002)Stochastic Finance (2004)Robust price bounds for the forward starting straddle (2014)Adapted Wasserstein distances and stability in mathematical finance (2020)Mass Transportation Problems (1998)Monotone martingale transport plans and Skorokhod embedding (2017)SAMPLING OF ONE-DIMENSIONAL PROBABILITY MEASURES IN THE CONVEX ORDER AND COMPUTATION OF ROBUST OPTION PRICE BOUNDS (2019)Martingales and stochastic integrals in the theory of continuous trading (1981)Controlled Markov Processes and Viscosity Solutions (2005)A MODEL‐FREE VERSION OF THE FUNDAMENTAL THEOREM OF ASSET PRICING AND THE SUPER‐REPLICATION THEOREM (2013)Martingale optimal transport and robust hedging in continuous time (2013)Arbitrage and duality in nondominated discrete-time models (2015)A Distance For Multistage Stochastic Optimization Models (2012)
this work references cited by second hop

References

  • 2016MODEL-INDEPENDENT BOUNDS FOR OPTION PRICES: A MASS TRANSPORT APPROACH358 cited
  • 2014A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options243 cited
  • 2010ROBUST BOUNDS FOR FORWARD START OPTIONS146 cited
  • 2016An explicit martingale version of the one-dimensional Brenier theorem75 cited
  • 2011A new proof of Kellerer’s theorem56 cited

Cited by

  • 2023Continuity of the martingale optimal transport problem on the real line24 cited

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