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Monotone martingale transport plans and Skorokhod embedding
13 references·0 citing·28 second hop
Monotone martingale transport plans and Skorokhod embedding (2017)Monotone martingale transport plans and S…The maximum maximum of a martingale with given $\mathbf{n}$ marginals (2016)The maximum maximum of a mart…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…Arbitrage and duality in nondominated discrete-time models (2015)Arbitrage and duality in nond…A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options (2014)A stochastic control approach…Martingale optimal transport and robust hedging in continuous time (2013)Martingale optimal transport …Model-independent hedging strategies for variance swaps (2012)Model-independent hedging str…The Skorokhod Embedding Problem and Model-Independent Bounds for Option Prices (2010)The Skorokhod Embedding Probl…ROBUST BOUNDS FOR FORWARD START OPTIONS (2010)ROBUST BOUNDS FOR FORWARD STA…Paris-Princeton Lectures on Mathematical Finance 2010 (2010)Paris-Princeton Lectures on M…The Skorokhod embedding problem and its offspring (2004)The Skorokhod embedding probl…The Skorokhod embedding problem and its offspring (2004)The Skorokhod embedding probl…Stopping times on Brownian motion: Some properties of root's construction (1970)Stopping times on Brownian mo…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Stochastic Integration and Differential Equations (2005)Brownian Motion and Stochastic Calculus (2007)Continuous Time Finite State Mean Field Games (2013)Mean field games via controlled martingale problems: Existence of Markovian equilibria (2015)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)Stochastic Finance (2004)Robust price bounds for the forward starting straddle (2014)Adapted Wasserstein distances and stability in mathematical finance (2020)Information and option pricings (2001)A survey and some generalizations of Bessel processes (2003)A general version of the fundamental theorem of asset pricing (1994)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)UTILITY MAXIMIZATION UNDER MODEL UNCERTAINTY IN DISCRETE TIME (2014)ROBUST FUNDAMENTAL THEOREM FOR CONTINUOUS PROCESSES (2015)Mass Transportation Problems (1998)An explicit martingale version of the one-dimensional Brenier’s Theorem with full marginals constraint (2016)Stability of the shadow projection and the left-curtain coupling (2016)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)Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market (1995)Hedging variance options on continuous semimartingales (2009)Stochastic Processes (2011)
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References

  • 2016MODEL-INDEPENDENT BOUNDS FOR OPTION PRICES: A MASS TRANSPORT APPROACH358 cited
  • 2004The Skorokhod embedding problem and its offspring255 cited
  • 2014A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options243 cited
  • 2015Arbitrage and duality in nondominated discrete-time models240 cited
  • 2010The Skorokhod Embedding Problem and Model-Independent Bounds for Option Prices224 cited
  • 2013Martingale optimal transport and robust hedging in continuous time218 cited
  • 2010Paris-Princeton Lectures on Mathematical Finance 2010149 cited
  • 2010ROBUST BOUNDS FOR FORWARD START OPTIONS146 cited
  • 2004The Skorokhod embedding problem and its offspring117 cited
  • 2016An explicit martingale version of the one-dimensional Brenier theorem75 cited
  • 2012Model-independent hedging strategies for variance swaps62 cited
  • 2016The maximum maximum of a martingale with given $\mathbf{n}$ marginals57 cited
  • 1970Stopping times on Brownian motion: Some properties of root's construction43 cited

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