Dominykas Norgilas

activity

20242026

collaborators

5 papers

q-fin.MF2026

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

David Hobson, Dominykas Norgilas

Suppose $I^¼$ and $I^½$ are probability measures on $R$ satisfying $I^¼ \leq_{c x} I^½$ . Let $a$ and $b$ be convex functions on $R$ with $a \geq b \geq 0$ . We are inter…

math.PR2026

Stability of supermartingale optimal transport problems

Shuoqing Deng, Gaoyue Guo, Dominykas Norgilas

We investigate stability properties of weak supermartingale optimal transport (WSOT) problems on $R$ . For probability measures $I^¼, I^½ \in P_{r}$ satisfying $Î¼\leq_{…

q-fin.MF2026

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…

math.PR2025

An injective martingale coupling

David Hobson, Dominykas Norgilas

We give an injective martingale coupling; in particular, given measures $I^¼$ and $I^½$ in convex order on $R$ such that $I^½$ is continuous, we construct a martingale transpo…

math.PR2024

Generalizing Super/Sub MOT using weak $L^{1}$ 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…