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Dual attainment for the martingale transport problem
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Dual attainment for the martingale transport problem (2019)Dual attainment for the martingale transp…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 …Change of numeraire in the two-marginals martingale transport problem (2016)Change of numeraire in the tw…Robust price bounds for the forward starting straddle (2014)Robust price bounds for the f…Martingale inequalities and deterministic counterparts (2014)Martingale inequalities and d…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 …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…The Skorokhod embedding problem and its offspring (2004)The Skorokhod embedding probl…An Exact Bond Option Formula (1989)Changes of numéraire, changes of probability measure and option pricing (1995)Mathematical Methods for Financial Markets (2009)Geometry of distribution-constrained optimal stopping problems (2018)Weak transport for non‐convex costs and model‐independence in a fixed‐income market (2021)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)Pricing and hedging derivative securities in markets with uncertain volatilities (1995)G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type (2007)Robust option pricing (2014)Model-free superhedging duality (2017)Pointwise Arbitrage Pricing Theory in Discrete Time (2019)Stochastic Finance (2004)An explicit martingale version of the one-dimensional Brenier theorem (2016)Adapted Wasserstein distances and stability in mathematical finance (2020)Robust hedging of the lookback option (1998)An explicit martingale version of the one-dimensional Brenier’s Theorem with full marginals constraint (2016)The Robust Superreplication Problem: A Dynamic Approach (2019)Continuity of the martingale optimal transport problem on the real line (2023)Information and option pricings (2001)A survey and some generalizations of Bessel processes (2003)The concept of comonotonicity in actuarial science and finance: applications (2002)Computational methods for martingale optimal transport problems (2019)Irreducible convex paving for decomposition of multidimensional martingale transport plans (2019)All adapted topologies are equal (2020)Martingales and stochastic integrals in the theory of continuous trading (1981)Controlled Markov Processes and Viscosity Solutions (2005)Arbitrage and duality in nondominated discrete-time models (2015)A general version of the fundamental theorem of asset pricing (1994)Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market (1995)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)ROBUST FUNDAMENTAL THEOREM FOR CONTINUOUS PROCESSES (2015)
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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
  • 2010The Skorokhod Embedding Problem and Model-Independent Bounds for Option Prices224 cited
  • 2013Martingale optimal transport and robust hedging in continuous time218 cited
  • 2010ROBUST BOUNDS FOR FORWARD START OPTIONS146 cited
  • 2014Robust price bounds for the forward starting straddle82 cited
  • 2016The maximum maximum of a martingale with given $\mathbf{n}$ marginals57 cited
  • 2014Martingale inequalities and deterministic counterparts37 cited
  • 2016Change of numeraire in the two-marginals martingale transport problem31 cited

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