Sampling of Probability Measures in the Convex Order and Approximation of Martingale Optimal Transport Problems-Reference-Cited by-同舟云学术

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Sampling of Probability Measures in the Convex Order and Approximation of Martingale Optimal Transport Problems

Published:2017 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Alfonsi Aurrlien,Corbetta Jacopo,Jourdain Benjamin

Publisher

Elsevier BV

Reference21 articles.

1. Gradient flows in metric spaces and in the space of probability measures;Luigi Ambrosio;Lectures in Mathematics ETH Z�rich. Birkh�user Verlag,2005

2. Model-independent bounds for option prices-a mass transport approach;Mathias Beiglb�ck;Finance Stoch,2013

3. On a problem of optimal transport under marginal martingale constraints;Mathias Beiglb�ck;Ann. Probab,2016

4. Iterative Bregman projections for regularized transportation problems;Jean-David Benamou;SIAM J. Sci. Comput,2015

Cited by 5 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Stability of martingale optimal transport and weak optimal transport;The Annals of Applied Probability;2022-02-01

2. Existence, duality, and cyclical monotonicity for weak transport costs;Calculus of Variations and Partial Differential Equations;2019-11-02

3. Computation of Optimal Transport and Related Hedging Problems via Penalization and Neural Networks;Applied Mathematics & Optimization;2019-02-20

4. Perturbation Analysis of Sub/Super Hedging Problems;SSRN Electronic Journal;2018

5. Tightening Robust Price Bounds for Exotic Derivatives;SSRN Electronic Journal;2018

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