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ArticleMonotone martingale transport plans and Skorokhod embedding

Mathias Beiglböck2017

OA

Articlebronze2017

Monotone martingale transport plans and Skorokhod embedding

Mathias Beiglböck · Pierre Henry‐Labordère · Nizar Touzi

33 citations·0/0 files stored·Stochastic Processes and their Applications

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Stochastic processes and financial applications Geometric Analysis and Curvature Flows Risk and Portfolio Optimization

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References

2016MODEL-INDEPENDENT BOUNDS FOR OPTION PRICES: A MASS TRANSPORT APPROACH 2004The Skorokhod embedding problem and its offspring 2014A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options 2015Arbitrage and duality in nondominated discrete-time models 2010The Skorokhod Embedding Problem and Model-Independent Bounds for Option Prices 2013Martingale optimal transport and robust hedging in continuous time 2010Paris-Princeton Lectures on Mathematical Finance 2010 2010ROBUST BOUNDS FOR FORWARD START OPTIONS

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Year2017

Typearticle

Published2017-01-30

VenueStochastic Processes and their Applications

ISSN-L0304-4149

Languageen

Citations33

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.spa.2017.01.004

openalex_workW2580913477

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