3 papers
math.PR2026
The geometry of the adapted Bures--Wasserstein space
Beatrice Acciaio, Daniel Bartl, Anne Grass +2
The adapted Bures--Wasserstein space consists of Gaussian processes endowed with the adapted Wasserstein distance. It can be viewed as the analogue of the classical Bures--Wasserst…
q-fin.MF2023
Robust option pricing with volatility term structure -- An empirical study for variance options
Alexander M. G. Cox, Annemarie M. Grass
The robust option pricing problem is to find upper and lower bounds on fair prices of financial claims using only the most minimal assumptions. It contrasts with the classical, mod…
math.PR2023
Delayed switching identities and multi-marginal solutions to the Skorokhod embedding problem
Alexander M. G. Cox, Annemarie M. Grass
In this article, we consider a generalisation of the Skorokhod embedding problem (SEP) with a delayed starting time. In the delayed SEP, we look for stopping times which embed a gi…