Martingale Wasserstein inequality for probability measures in the convex order
Author:
Affiliation:
1. CERMICS, Ecole des Ponts, INRIA, Marne-la-Vallée, France
Publisher
Bernoulli Society for Mathematical Statistics and Probability
Subject
Statistics and Probability
Reference27 articles.
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3. Beiglböck, M., Henry-Labordère, P. and Penkner, F. (2013). Model-independent bounds for option prices—a mass transport approach. Finance Stoch. 17 477–501.
4. Beiglböck, M. and Juillet, N. (2016). On a problem of optimal transport under marginal martingale constraints. Ann. Probab. 44 42–106.
5. Galichon, A., Henry-Labordère, P. and Touzi, N. (2014). A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options. Ann. Appl. Probab. 24 312–336.
Cited by 2 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. Maximal Martingale Wasserstein inequality;Electronic Communications in Probability;2024-01-01
2. An optimal transport-based characterization of convex order;Dependence Modeling;2023-01-01
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