Dominykas Norgilas

activity

20172026

most citedA potential-based construction of the increasing supermartingale coupling

1 citations · 2 across the 9 of their papers we have counts for

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3 papers · 1 filter

q-fin.MF2025

Model-independent upper bounds for the prices of Bermudan options with convex payoffs

David Hobson, Dominykas Norgilas

Suppose $μ$ and $ν$ are probability measures on $R$ satisfying $μ \leq_{c x} ν$ . Let $a$ and $b$ be convex functions on $R$ with $a \geq b \geq 0$ . We are intereste…

q-fin.MF2024

The McCormick martingale optimal transport

Erhan Bayraktar, Bingyan Han, Dominykas Norgilas

Martingale optimal transport (MOT) often yields broad price bounds for options, constraining their practical applicability. In this study, we extend MOT by incorporating causality…

q-fin.MF2017

Robust bounds for the American Put

David Hobson, Dominykas Norgilas

We consider the problem of finding a model-free upper bound on the price of an American put given the prices of a family of European puts on the same underlying asset. Specifically…