1 citations · 1 across the 3 of their papers we have counts for
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Stability of supermartingale optimal transport problems
Shuoqing Deng, Gaoyue Guo, Dominykas Norgilas
We investigate stability properties of weak supermartingale optimal transport (WSOT) problems on . For probability measures satisfying $μ\leq_{cd}…
The football model, stochastic ordering and martingale transport
Gaoyue Guo, Nicolas Juillet, Wenpin Tang
Tournaments are competitions between a number of teams, the outcome of which determines the relative strength or rank of each team. In many cases, the strength of a team in the tou…
Randomness and early termination: what makes a game exciting?
Gaoyue Guo, Sam D. Howison, Dylan Possamaï +1
In this paper we revisit an open problem posed by Aldous on the max-entropy win-probability martingale: given two players of equal strength, such that the win-probability is a mart…
Robust pricing and hedging of options on multiple assets and its numerics
Stephan Eckstein, Gaoyue Guo, Tongseok Lim +1
We consider robust pricing and hedging for options written on multiple assets given market option prices for the individual assets. The resulting problem is called the multi-margin…
A stability result on optimal Skorokhod embedding
Gaoyue Guo
Motivated by the model- independent pricing of derivatives calibrated to the real market, we consider an optimization problem similar to the optimal Skorokhod embedding problem, wh…