We investigate the optimal martingale transport problem under additional constraints and its application to robust price bounds for financial derivatives. More specifically, we derive improved price bounds by taking into account supplementary information about the variance of the returns on the...

We investigate statistical arbitrage strategies when there is ambiguity about the underlying time-discrete financial model. Pricing measures are assumed to be martingale measures calibrated to prices of liquidly traded options, whereas the set of admissible physical measures is not necessarily...

We study the influence of information about call option prices on model-independent price bounds for exotic derivatives obtained through martingale transport. The considered call option prices and their associated marginal distributions do not correspond to some future maturity on which the...