15 citations · 30 across the 4 of their papers we have counts for
Showing 2017Show all
2 papers · 1 filter
math.PR2017
Robust Pricing and Hedging around the Globe
Sebastian Herrmann, Florian Stebegg
We consider the martingale optimal transport duality for càdlàg processes with given initial and terminal laws. Strong duality and existence of dual optimizers (robust semi-static…
math.PR2017★ 3 cited
Multiperiod Martingale Transport
Marcel Nutz, Florian Stebegg, Xiaowei Tan
Consider a multiperiod optimal transport problem where distributions are prescribed and a transport corresponds to a scalar martingale with marginals $X_{t}…