55 citations · 79 across the 14 of their papers we have counts for
3 papers · 1 filter
Root to Kellerer
Mathias Beiglböck, Martin Huesmann, Florian Stebegg
We revisit Kellerer's Theorem, that is, we show that for a family of real probability distributions which increases in convex order there exists a Markov marti…
Complete Duality for Martingale Optimal Transport on the Line
Mathias Beiglböck, Marcel Nutz, Nizar Touzi
We study the optimal transport between two probability measures on the real line, where the transport plans are laws of one-step martingales. A quasi-sure formulation of the dual p…
Pathwise super-replication via Vovk's outer measure
Mathias Beiglböck, Alexander M. G. Cox, Martin Huesmann +2
Since Hobson's seminal paper [D. Hobson: Robust hedging of the lookback option. In: Finance Stoch. (1998)] the connection between model-independent pricing and the Skorokhod embedd…