2 papers
math.OC2025
A parallel framework for graphical optimal transport
Jiaojiao Fan, Isabel Haasler, Qinsheng Zhang +2
We study multi-marginal optimal transport (MOT) problems where the underlying cost has a graphical structure. These graphical multi-marginal optimal transport problems have found a…
q-fin.CP2025
Computation of Robust Option Prices via Structured Multi-Marginal Martingale Optimal Transport
Linn Engström, Sigrid Källblad, Johan Karlsson
We introduce an efficient computational framework for solving a class of multi-marginal martingale optimal transport problems, which includes many robust pricing problems of large…