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Path dependent optimal transport and model calibration on exotic derivatives
16 references·0 citing·47 second hopsampled
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References

  • 2005A regression-based Monte Carlo method to solve backward stochastic differential equations412 cited
  • 2004A numerical scheme for BSDEs371 cited
  • 2019Functional Itô calculus257 cited
  • 2013Functional Itô calculus and stochastic integral representation of martingales252 cited
  • 1997Calibrating volatility surfaces via relative-entropy minimization249 cited
  • 2013Martingale optimal transport and robust hedging in continuous time218 cited
  • 2016Viscosity solutions of fully nonlinear parabolic path dependent PDEs: Part II156 cited
  • 2016Viscosity solutions of fully nonlinear parabolic path dependent PDEs: Part I119 cited
  • 2013Optimal transportation under controlled stochastic dynamics117 cited
  • 2013Mimicking an Itô process by a solution of a stochastic differential equation110 cited
  • 2006Duality theorem for the stochastic optimal control problem78 cited
  • 2016An explicit martingale version of the one-dimensional Brenier theorem75 cited
  • 2018Robust pricing–hedging dualities in continuous time60 cited
  • 2013Martingale Optimal Transport and Robust Hedging in Continuous Time54 cited
  • 1997Calibrating Volatility Surfaces Via Relative-Entropy Minimization

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51 cited
  • 2010A nonlinear partial integro-differential equation from mathematical finance49 cited
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