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Martingale Optimal Transport and Robust Hedging in Continuous Time
13 references·11 citing·41 second hopsampled
Martingale Optimal Transport and Robust Hedging in Continuous Time (2013)Martingale Optimal Transport and Robust H…Root’s barrier: Construction, optimality and applications to variance options (2013)Root’s barrier: Construction,…Dual formulation of second order target problems (2013)Dual formulation of second or…ARBITRAGE BOUNDS FOR PRICES OF WEIGHTED VARIANCE SWAPS (2013)ARBITRAGE BOUNDS FOR PRICES O…Wellposedness of second order backward SDEs (2011)Wellposedness of second order…Robust pricing and hedging of double no-touch options (2011)Robust pricing and hedging of…The Skorokhod Embedding Problem and Model-Independent Bounds for Option Prices (2010)The Skorokhod Embedding Probl…Hedging variance options on continuous semimartingales (2009)Hedging variance options on c…A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)A General Version of the Fund…Robust Hedging of Barrier Options (2001)Robust Hedging of Barrier Opt…Robust hedging of the lookback option (1998)Robust hedging of the lookbac…Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market (1995)Dynamic Programming and Prici…A general version of the fundamental theorem of asset pricing (1994)A general version of the fund…On a Representation of Random Variables (1977)On a Representation of Random…Robust deep hedging (2022)Robust deep hedgingViability and Arbitrage Under Knightian Uncertainty (2021)Viability and Arbitrage Under…Pathwise superreplication via Vovk’s outer measure (2017)Pathwise superreplication via…Change of numeraire in the two-marginals martingale transport problem (2016)Change of numeraire in the tw…BOUNDING WRONG‐WAY RISK IN CVA CALCULATION (2016)BOUNDING WRONG‐WAY RISK IN CV…Martingale optimal transport in the Skorokhod space (2015)Martingale optimal transport …Linking Vanillas and VIX Options: A Constrained Martingale Optimal Transport Problem (2015)Linking Vanillas and VIX Opti…Superreplication under model uncertainty in discrete time (2014)Superreplication under model …Martingale inequalities and deterministic counterparts (2014)Martingale inequalities and d…Robust Hedging with Proportional Transaction Costs (2013)Robust Hedging with Proportio…Maximum Maximum of Martingales Given Marginals (2012)Maximum Maximum of Martingale…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)Martingale optimal transport and robust hedging in continuous time (2013)Optimal transportation under controlled stochastic dynamics (2013)Martingales and arbitrage in multiperiod securities markets (1979)Adapted solution of a backward stochastic differential equation (1990)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type (2007)Function Spaces and Capacity Related to a Sublinear Expectation: Application to G-Brownian Motion Paths (2010)Nonlinear Expectations and Stochastic Calculus under Uncertainty (2019)Stochastic Integration and Differential Equations (2005)Robust price bounds for the forward starting straddle (2014)An explicit martingale version of the one-dimensional Brenier theorem (2016)Duality Formulas for Robust Pricing and Hedging in Discrete Time (2017)Options and Efficiency (1976)The valuation of options for alternative stochastic processes (1976)Coherent risk measures and good-deal bounds (2001)ROBUST BOUNDS FOR FORWARD START OPTIONS (2010)The Pricing of Options and Corporate Liabilities (1973)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Arbitrage Theory in Continuous Time (2004)Theory of rational option pricing (2005)Brownian Motion and Stochastic Calculus (2007)Tails, Fears, and Risk Premia (2011)Options, Futures, and Other Derivative Securities. (1990)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)Backward Stochastic Differential Equations in Finance (1997)Methods of Mathematical Finance (1998)Ambiguous volatility, possibility and utility in continuous time (2013)Constructing sublinear expectations on path space (2013)Viscosity solutions of fully nonlinear parabolic path dependent PDEs: Part I (2016)MULTI-DIMENSIONAL DIFFUSION PROCESSES (1980)Martingale representation theorem for the G -expectation (2010)Ambiguous Volatility and Asset Pricing in Continuous Time (2013)Theory of Rational Option Pricing (1973)Arbitrage Theory in Continuous Time (1998)Robust hedging with proportional transaction costs (2014)ROBUST FUNDAMENTAL THEOREM FOR CONTINUOUS PROCESSES (2015)
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References

  • 2008A General Version of the Fundamental Theorem of Asset Pricing (1994)1,568 cited
  • 1994A general version of the fundamental theorem of asset pricing1,447 cited
  • 1995Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market649 cited
  • 2011Wellposedness of second order backward SDEs289 cited
  • 1998Robust hedging of the lookback option279 cited
  • 2010The Skorokhod Embedding Problem and Model-Independent Bounds for Option Prices224 cited
  • 2001Robust Hedging of Barrier Options177 cited
  • 2013Dual formulation of second order target problems148 cited
  • 2011Robust pricing and hedging of double no-touch options140 cited
  • 2013Root’s barrier: Construction, optimality and applications to variance options89 cited
  • 2009Hedging variance options on continuous semimartingales80 cited
  • 2013ARBITRAGE BOUNDS FOR PRICES OF WEIGHTED VARIANCE SWAPS73 cited
  • 1977On a Representation of Random Variables68 cited

Cited by

  • 2015Martingale optimal transport in the Skorokhod space53 cited
  • 2014Superreplication under model uncertainty in discrete time39 cited

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  • 2014Martingale inequalities and deterministic counterparts37 cited
  • 2015Linking Vanillas and VIX Options: A Constrained Martingale Optimal Transport Problem37 cited
  • 2017Pathwise superreplication via Vovk’s outer measure32 cited
  • 2016Change of numeraire in the two-marginals martingale transport problem31 cited
  • 2012Maximum Maximum of Martingales Given Marginals31 cited
  • 2013Robust Hedging with Proportional Transaction Costs30 cited
  • 2021Viability and Arbitrage Under Knightian Uncertainty29 cited
  • 2016BOUNDING WRONG‐WAY RISK IN CVA CALCULATION28 cited
  • 2022Robust deep hedging26 cited