360 citations · 393 across the 10 of their papers we have counts for
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math.PR2016
On the support of extremal martingale measures with given marginals: the countable case
Luciano Campi, Claude Martini
We investigate the supports of extremal martingale measures with pre-specified marginals in a two-period setting. First, we establish in full generality the equivalence between the…
math.PR2014★ 4 cited
Change of numeraire in the two-marginals martingale transport problem
Luciano Campi, Ismail Laachir, Claude Martini
In this paper we apply change of numeraire techniques to the optimal transport approach for computing model-free prices of derivatives in a two periods model. In particular, we con…
math.PR2006★ 360 cited
A theoretical framework for the pricing of contingent claims in the presence of model uncertainty
Laurent Denis, Claude Martini
The aim of this work is to evaluate the cheapest superreplication price of a general (possibly path-dependent) European contingent claim in a context where the model is uncertain.…