142 citations · 168 across the 20 of their papers we have counts for
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How close are the option pricing formulas of Bachelier and Black-Merton-Scholes?
Walter Schachermayer, Josef Teichmann
We compare the option pricing formulas of Louis Bachelier and Black-Merton-Scholes and observe -- theoretically as well as for Bachelier's original data -- that the prices coincide…
Characterization of optimal Transport Plans for the Monge-Kantorovich-Problem
Walter Schachermayer, Josef Teichmann
We prove that -cyclically monotone transport plans optimize the Monge-Kantorovich transportation problem under an additional measurability condition. This measurability cond…
In which Financial Markets do Mutual Fund Theorems hold true?
Walter Schachermayer, Mihai Sirbu, Erik Taflin
The Mutual Fund Theorem (MFT) is considered in a general semimartingale financial market S with a finite time horizon T, where agents maximize expected utility of terminal wealth.…
Non-monotone convergence in the quadratic Wasserstein distance
Walter Schachermayer, Uwe Schmock, Josef Teichmann
We give an easy counter-example to Problem 7.20 from C. Villani's book on mass transport: in general, the quadratic Wasserstein distance between -fold normalized convolutions of…