Fetching the paper…
Reading the bibliography…
We establish numerical methods for solving the martingale optimal transport problem (MOT) - a version of the classical optimal transport with an additional martingale constraint on transport's dynamics.
The existence of probability measures with given marginals
V. Strassen: · 1965
Earlier work this paper cites.
A relaxation method of finding a common point of convex sets and its application to the solution of problems in convex programming
L. M. Bregman: · 1967
Earlier work this paper cites.
On a representation of random variables
A. V. Skorokhod: · 1976
Earlier work this paper cites.
Potential processes
R. V. Chacon: · 1977
Earlier work this paper cites.
Prices of State-contingent Claims Implicit in Option Prices
D. T. Breeden and R. H. Litzenberger: · 1978
Earlier work this paper cites.
Stein’s method for diffusion approximations
A. D. Barbour: · 1990
Earlier work this paper cites.
Robust hedging of the lookback option
D. Hobson: · 1998
Earlier work this paper cites.
Mass transportation problems. Vol. I
S. T. Rachev and L. Rüschendorf: · 1998
Earlier work this paper cites.
A computational fluid mechanics solution to the Monge-Kantorovich mass transfer problem
J. D. Benamou and Y. Brenier: · 2000
Earlier work this paper cites.
Foundations of quantization for probability distributions
S. Graf and H. Luschgy: · 2000
Earlier work this paper cites.
Robust hedging of barrier options
H. Brown, D. Hobson and L. C. G. Rogers: · 2001
Earlier work this paper cites.
Local distortion and μ − \mu- mass of the cells of one dimensional asymptotically optimal quantizers
S. Delattre, J. C. Fort and G. Pagès: · 2004
Earlier work this paper cites.
The range of traded option prices
M. Davis and D. Hobson: · 2007
Earlier work this paper cites.
Distortion mismatch in the quantization of probability measures
S. Graf, H. Luschgy and G. Pagès: · 2008
Earlier work this paper cites.
Optimal transport, old and new
C. Villani: · 2009
Earlier work this paper cites.
Robust hedging of double touch barrier options
A. M. G. Cox and J. Obłój: · 2011
Cited alongside, same era.
Robust pricing and hedging of double no-touch options
A. M. G. Cox and J. Obłój: · 2011
Cited alongside, same era.
Robust bounds for forward start options
D. Hobson and A. Neuberger: · 2012
Cited alongside, same era.
Model-independent bounds for option prices–a mass transport approach
M. Beiglböck, P. Henry-Labordère and F. Penkner: · 2013
Cited alongside, same era.
A model-free no-arbitrage price bound for variance options
J. F. Bonnans and X. Tan: · 2013
Cited alongside, same era.
Arbitrage bounds for prices of weighted variance swaps
M. Davis, J. Obłój and V. Raval: · 2014
Cited alongside, same era.
An explicit martingale version of the one-dimensional Brenier’s theorem with full marginals constraint
P. Henry-Labordère, X. Tan and N. Touzi: · 2016
Later among the works it cites.
Stability of the shadow projection and the left-curtain coupling
N. Juillet: · 2016
Later among the works it cites.
Optimal martingale transport between radially symmetric marginals in general dimensions
T. Lim: · 2016
Later among the works it cites.
Minimizing finite sums with the stochastic average gradient
M. Schmidt, N. Le Roux and F. Bach: · 2016
Later among the works it cites.
A. Alfonsi, J. Corbetta and B. Jourdain: · 2017
Closest in time.
alphaXiv searches the wider corpus for related work and actual follow-ups.
alphaXiv is searching for related work…
Martingale optimal transport and robust hedging in continuous time
Y. Dolinsky and H. M. Soner: · 2014
Cited alongside, same era.
A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options
A. Galichon, P. Henry-Labordère and N. Touzi: · 2014
Cited alongside, same era.
Iterative Bregman projections for regularized transportation problems
J. D. Benamou, G. Carlier, M. Cuturi, L. Nenna and G. Peyré: · 2015
Cited alongside, same era.
On the rate of convergence in Wasserstein distance of the empirical measure
N. Fournier and A. Guillin: · 2015
Cited alongside, same era.
Robust price bounds for the forward starting straddle
D. Hobson and M. Klimmek: · 2015
Cited alongside, same era.
A numerical algorithm for L 2 L_{2} semi-discrete optimal transport in 3D
B. Lévy: · 2015
Cited alongside, same era.
E. Bayraktar and G. Wang: · 2017
Closest in time.
Some Results on Skorokhod Embedding and Robust Hedging with Local Time
J. Claisse, G. Guo and P. Henry-Labordère: · 2017
Closest in time.
A stability result on optimal Skorokhod embedding
G. Guo: · 2017
Closest in time.
Multi-martingale optimal transport
T. Lim: · 2017
Closest in time.
Structure of martingale transports in finite dimensions
J. Obłój and P. Siorpaes: · 2017
Closest in time.
Dual attainment for the martingale transport problem
M. Beiglböck, T. Lim and J. Obłój: · 2018
Closest in time.
Irreducible convex paving for decomposition of multi-dimensional martingale transport plans
H. De March and N. Touzi: · 2018
Closest in time.
Robust pricing–hedging duality in continuous time
Z. Hou and J. Obłój: · 2018
Closest in time.
Structure of optimal martingale transport plans in general dimensions
T. Lim, N. Ghoussoub and Y. H. Kim: · 2019
Closest in time.