25 citations · 54 across the 15 of their papers we have counts for
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math.PR2017★ 14 cited
Computational Methods for Martingale Optimal Transport problems
Gaoyue Guo, Jan Obloj
We establish numerical methods for solving the martingale optimal transport problem (MOT) - a version of the classical optimal transport with an additional martingale constraint on…
math.PR2017★ 1 cited
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…