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math.PR2024
Generalizing Super/Sub MOT using weak transport
Erhan Bayraktar, Dominykas Norgilas
In this article we revisit the weak optimal transport (WOT) problem, introduced by Gozlan, Roberto, Samson and Tetali (2017). We work on the real line, with barycentric cost functi…
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…