158 citations · 363 across the 23 of their papers we have counts for
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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…
q-fin.GN2011
Utility Maximization, Risk Aversion, and Stochastic Dominance
Mathias Beiglboeck, Johannes Muhle-Karbe, Johannes Temme
Consider an investor trading dynamically to maximize expected utility from terminal wealth. Our aim is to study the dependence between her risk aversion and the distribution of the…