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Model-independent bounds for option prices—a mass transport approach
In this paper we investigate model-independent bounds for exotic options written on a risky
asset using infinite-dimensional linear programming methods. Based on arguments from the …
asset using infinite-dimensional linear programming methods. Based on arguments from the …
Martingale optimal transport and robust hedging in continuous time
The duality between the robust (or equivalently, model independent) hedging of path
dependent European options and a martingale optimal transport problem is proved. The …
dependent European options and a martingale optimal transport problem is proved. The …
A model‐free version of the fundamental theorem of asset pricing and the super‐replication theorem
Abstract We propose a Fundamental Theorem of Asset Pricing and a Super‐Replication
Theorem in a model‐independent framework. We prove these theorems in the setting of …
Theorem in a model‐independent framework. We prove these theorems in the setting of …
The Skorokhod embedding problem and model-independent bounds for option prices
This set of lecture notes is concerned with the following pair of ideas and concepts: 1. The
Skorokhod Embedding problem (SEP) is, given a stochastic process X=(X t) t≥ 0 and a …
Skorokhod Embedding problem (SEP) is, given a stochastic process X=(X t) t≥ 0 and a …
Optimal transport and Skorokhod embedding
The Skorokhod embedding problem is to represent a given probability as the distribution of
Brownian motion at a chosen stop** time. Over the last 50 years this has become one of …
Brownian motion at a chosen stop** time. Over the last 50 years this has become one of …
Computational methods for martingale optimal transport problems
We develop computational methods for solving the martingale optimal transport (MOT)
problem—a version of the classical optimal transport with an additional martingale constraint …
problem—a version of the classical optimal transport with an additional martingale constraint …
Robust bounds for forward start options
We consider the problem of finding a model‐free upper bound on the price of a forward start
straddle with payoff. The bound depends on the prices of vanilla call and put options with …
straddle with payoff. The bound depends on the prices of vanilla call and put options with …
Probabilistic aspects of finance
H Föllmer, A Schied - 2013 - projecteuclid.org
In the past decades, advanced probabilistic methods have had significant impact on the field
of finance, both in academia and in the financial industry. Conversely, financial questions …
of finance, both in academia and in the financial industry. Conversely, financial questions …
An explicit martingale version of the one-dimensional Brenier theorem
By investigating model-independent bounds for exotic options in financial mathematics, a
martingale version of the Monge–Kantorovich mass transport problem was introduced in …
martingale version of the Monge–Kantorovich mass transport problem was introduced in …
Robust pricing and hedging of double no-touch options
Double no-touch options are contracts which pay out a fixed amount provided an underlying
asset remains within a given interval. In this work, we establish model-independent bounds …
asset remains within a given interval. In this work, we establish model-independent bounds …