2 citations · 3 across the 4 of their papers we have counts for
4 papers
Limits of Semistatic Trading Strategies
Marcel Nutz, Johannes Wiesel, Long Zhao
We show that pointwise limits of semistatic trading strategies in discrete time are again semistatic strategies. The analysis is carried out in full generality for a two-period mod…
Martingale Schrödinger Bridges and Optimal Semistatic Portfolios
Marcel Nutz, Johannes Wiesel, Long Zhao
In a two-period financial market where a stock is traded dynamically and European options at maturity are traded statically, we study the so-called martingale Schrödinger bridge Q*…
Stability of Schrödinger Potentials and Convergence of Sinkhorn's Algorithm
Marcel Nutz, Johannes Wiesel
We study the stability of entropically regularized optimal transport with respect to the marginals. Given marginals converging weakly, we establish a strong convergence for the Sch…
Consistent Price Systems under Model Uncertainty
Bruno Bouchard, Marcel Nutz
We develop a version of the fundamental theorem of asset pricing for discrete-time markets with proportional transaction costs and model uncertainty. A robust notion of no-arbitrag…