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q-fin.PR2026
Stochastic Knothe-Rosenblatt: Light-speed Calibration of Stochastic Local Volatility Models
Mathias Beiglböck, Manuel Hasenbichler, Gudmund Pammer
European option smiles determine the risk-neutral marginal laws of an asset, but not their intertemporal coupling, which is decisive for many applications. The Bass martingale cons…
q-fin.PR2011
Model-independent Bounds for Option Prices: A Mass Transport Approach
Mathias Beiglböck, Pierre Henry-Labordère, Friedrich Penkner
In this paper we investigate model-independent bounds for exotic options written on a risky asset. Based on arguments from the theory of Monge-Kantorovich mass-transport we establi…