Martingale optimal transport in the discrete case via simple linear programming techniques
暂无分享,去创建一个
[1] Mathias Beiglböck,et al. Optimal transport and Skorokhod embedding , 2013, Inventiones mathematicae.
[2] D. A. Edwards. On the existence of probability measures with given marginals , 1978 .
[3] The left-curtain martingale coupling in the presence of atoms , 2018, The Annals of Applied Probability.
[4] Nizar Touzi,et al. Monotone martingale transport plans and Skorokhod embedding , 2017 .
[5] Bruno Dupire. Pricing with a Smile , 1994 .
[6] J. Obłój. The Skorokhod embedding problem and its offspring , 2004, math/0401114.
[7] Mathias Beiglböck,et al. Model-independent bounds for option prices—a mass transport approach , 2011, Finance Stochastics.
[8] M. Huesmann,et al. Monotonicity preserving transformations of MOT and SEP , 2016, 1609.04084.
[9] David Hobson,et al. Robust hedging of the lookback option , 1998, Finance Stochastics.
[10] Gaoyue Guo,et al. Computational methods for martingale optimal transport problems , 2017, The Annals of Applied Probability.
[11] M. Beiglbock,et al. On a problem of optimal transport under marginal martingale constraints , 2012, 1208.1509.
[12] K. Chong,et al. Some Extensions of a Theorem of Hardy, Littlewood and Pólya and Their Applications , 1974, Canadian Journal of Mathematics.
[13] A. Cox,et al. The geometry of multi-marginal Skorokhod Embedding , 2017, Probability theory and related fields.
[14] D. Hobson. The Skorokhod Embedding Problem and Model-Independent Bounds for Option Prices , 2011 .
[15] Marcel Nutz,et al. Multiperiod martingale transport , 2017 .
[16] W. Schoutens,et al. A perfect calibration! now what? , 2004 .
[17] N. Juillet. Stability of the shadow projection and the left-curtain coupling , 2014, 1407.8009.
[18] Douglas T. Breeden,et al. Prices of State-Contingent Claims Implicit in Option Prices , 1978 .
[19] Nizar Touzi,et al. An explicit martingale version of the one-dimensional Brenier theorem , 2016, Finance Stochastics.
[20] Arthur Cayley,et al. The Collected Mathematical Papers: On Monge's “Mémoire sur la théorie des déblais et des remblais” , 2009 .
[21] L. Kantorovich. On a Problem of Monge , 2006 .
[22] S. Sherman. On a Theorem of Hardy, Littlewood, Polya, and Blackwell. , 1951, Proceedings of the National Academy of Sciences of the United States of America.