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Robust price bounds for the forward starting straddle

Hobson, David G.; Klimmek, Martin - In: Finance and stochastics 19 (2015) 1, pp. 189-214

Persistent link: https://www.econbiz.de/10011417160

Robust pricing and hedging under trading restrictions and the emergence of local martingale models

Cox, Alexander M. G.; Hou, Zhaoxu; Obłój, Jan - In: Finance and stochastics 20 (2016) 3, pp. 669-704

Persistent link: https://www.econbiz.de/10011531314

Martingale optimal transport in the Skorokhod space

Dolinsky, Yan; Soner, Halil Mete - 2014

The dual representation of the martingale optimal transport problem in the Skorokhod space of multi dimensional cadlag processes is proved. The dual is a minimization problem with constraints involving stochastic integrals and is similar to the Kantorovich dual of the standard optimal transport...

Persistent link: https://www.econbiz.de/10011293818

Consistent upper price bounds for exotic options

Bäuerle, Nicole; Schmithals, Daniel Matthias - In: International journal of theoretical and applied finance 24 (2021) 2, pp. 1-29

Persistent link: https://www.econbiz.de/10012650310

Robust bounds for derivative prices in markovian models

Sester, Julian - In: International journal of theoretical and applied finance 23 (2020) 3, pp. 1-39

Persistent link: https://www.econbiz.de/10012271014

Sampling of one-dimensional probability measures in the convex order and computation of robust option price bounds

Alfonsi, Aurélien; Corbetta, Jacopo; Jourdain, Benjamin - In: International journal of theoretical and applied finance 22 (2019) 3, pp. 1-41

Persistent link: https://www.econbiz.de/10012019745

Robust bounds for the American put

Hobson, David G.; Norgilas, Dominykas - In: Finance and stochastics 23 (2019) 2, pp. 359-395

Persistent link: https://www.econbiz.de/10012023741

Robust pricing-hedging dualities in continuous time

Hou, Zhaoxu; Obłój, Jan - In: Finance and stochastics 22 (2018) 3, pp. 511-567

Persistent link: https://www.econbiz.de/10011945812

Martingale optimal transport in the discrete case via simple linear programming techniques

Bäuerle, Nicole; Schmithals, Daniel Matthias - In: Mathematical methods of operations research 90 (2019) 3, pp. 453-476

Persistent link: https://www.econbiz.de/10012153873

Martingale transport with homogeneous stock movements

Eckstein, Stephan; Kupper, Michael - In: Quantitative finance 21 (2021) 2, pp. 271-280

Persistent link: https://www.econbiz.de/10012424589