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Change of numeraire in the two-marginals martingale transport problem
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What this work says
Outgoing claims: the papers this work cites, builds on, or argues with.
inferredcites →https://doi.org/10.1002/wilm.42820030518openalex-snapshot
Forward-Start Options in Stochastic Volatility Model
inferredcites →https://doi.org/10.1007/978-1-84628-737-4openalex-snapshot
Mathematical Methods for Financial Markets
inferredcites →https://doi.org/10.1007/978-3-642-14660-2_4openalex-snapshot
The Skorokhod Embedding Problem and Model-Independent Bounds for Option Prices
inferredcites →https://doi.org/10.1007/s00440-013-0531-yopenalex-snapshot
Martingale optimal transport and robust hedging in continuous time
inferredcites →https://doi.org/10.1007/s00780-014-0249-4openalex-snapshot
Robust price bounds for the forward starting straddle
inferredcites →https://doi.org/10.1007/s00780-016-0299-xopenalex-snapshot
An explicit martingale version of the one-dimensional Brenier theorem
inferredcites →https://doi.org/10.1007/s007800050044openalex-snapshot
Robust hedging of the lookback option
inferredcites →https://doi.org/10.1016/j.spa.2009.07.007openalex-snapshot
Symmetric martingales and symmetric smiles
inferredcites →https://doi.org/10.1016/j.spa.2015.05.009openalex-snapshot
Martingale optimal transport in the Skorokhod space
inferredcites →https://doi.org/10.1016/j.spa.2015.09.013openalex-snapshot
Corrigendum to “Martingale optimal transport in the Skorokhod space” [Stochastic Process. Appl. 125(10) (2015) 3893–3931]
inferredcites →https://doi.org/10.1111/j.1467-9965.1996.tb00117.xopenalex-snapshot
OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL1
inferredcites →https://doi.org/10.1111/j.1467-9965.2009.00379.xopenalex-snapshot
PUT‐CALL SYMMETRY: EXTENSIONS AND APPLICATIONS
inferredcites →https://doi.org/10.1111/j.1540-6261.1989.tb02413.xopenalex-snapshot
An Exact Bond Option Formula
inferredcites →https://doi.org/10.1137/140960712openalex-snapshot
Asymptotics of Forward Implied Volatility
inferredcites →https://doi.org/10.1214/14-aop966openalex-snapshot
On a problem of optimal transport under marginal martingale constraints
inferredcites →https://doi.org/10.1214/aoms/1177700153openalex-snapshot
The Existence of Probability Measures with Given Marginals
inferredcites →https://doi.org/10.2139/ssrn.2218488openalex-snapshot
An Explicit Martingale Version of Brenier's Theorem
inferredcites →https://doi.org/10.2139/ssrn.2245481openalex-snapshot
Martingale Optimal Transport and Robust Hedging in Continuous Time
inferredcites →https://doi.org/10.2307/3215299openalex-snapshot
Changes of numéraire, changes of probability measure and option pricing
inferredcites →https://doi.org/10.3917/fina.311.0081openalex-snapshot
Mathematical Methods for Financial Markets
What points at this work
Incoming claims: where this work appears in other papers’ reference lists and arguments.
inferred← citeshttps://doi.org/10.2139/ssrn.2755274openalex-extracted
No-Arbitrage Bounds for the Forward Smile Given Marginals
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Time-Discrete Markov Martingale Transport
inferred← citeshttps://doi.org/10.1007/s00440-017-0805-xopenalex-snapshot
Geometry of distribution-constrained optimal stopping problems
inferred← citeshttps://doi.org/10.1007/s00440-019-00935-zopenalex-snapshot
The geometry of multi-marginal Skorokhod Embedding
inferred← citeshttps://doi.org/10.1007/s00440-020-00993-8openalex-snapshot
All adapted topologies are equal
inferred← citeshttps://doi.org/10.1007/s00780-020-00426-3openalex-snapshot
Adapted Wasserstein distances and stability in mathematical finance
inferred← citeshttps://doi.org/10.1007/s10959-021-01141-1openalex-snapshot
Convex Order, Quantization and Monotone Approximations of ARCH Models
inferred← citeshttps://doi.org/10.1007/s11579-025-00395-1openalex-snapshot
The $$L^2$$ gradient flow of the Bass functional in martingale optimal transport
inferred← citeshttps://doi.org/10.1016/j.spa.2017.01.004openalex-snapshot
Monotone martingale transport plans and Skorokhod embedding
inferred← citeshttps://doi.org/10.1016/j.spa.2017.07.005openalex-snapshot
Monotonicity preserving transformations of MOT and SEP
inferred← citeshttps://doi.org/10.1016/j.spa.2025.104779openalex-snapshot
Change of numeraire for weak martingale transport
inferred← citeshttps://doi.org/10.1080/14697688.2019.1603394openalex-snapshot
Tightening Robust Price Bounds for Exotic Derivatives
inferred← citeshttps://doi.org/10.1090/proc/17252openalex-snapshot
Geometric martingale Benamou–Brenier transport and geometric Bass martingales
inferred← citeshttps://doi.org/10.1090/tran/7663openalex-snapshot
Compactness criterion for semimartingale laws and semimartingale optimal transport
inferred← citeshttps://doi.org/10.1111/mafi.12328openalex-snapshot
Weak transport for non‐convex costs and model‐independence in a fixed‐income market
inferred← citeshttps://doi.org/10.1142/s0219024920500156openalex-snapshot
ROBUST BOUNDS FOR DERIVATIVE PRICES IN MARKOVIAN MODELS
inferred← citeshttps://doi.org/10.1214/16-aop1131openalex-snapshot
Complete duality for martingale optimal transport on the line
inferred← citeshttps://doi.org/10.1214/17-aop1249openalex-snapshot
Canonical supermartingale couplings
inferred← citeshttps://doi.org/10.1214/20-aop1422openalex-snapshot
Martingale Benamou–Brenier: A probabilistic perspective
inferred← citeshttps://doi.org/10.1214/21-aap1694openalex-snapshot
Stability of martingale optimal transport and weak optimal transport
inferred← citeshttps://doi.org/10.1214/22-aap1907openalex-snapshot
A potential-based construction of the increasing supermartingale coupling
inferred← citeshttps://doi.org/10.1214/22-ecp457openalex-snapshot
The potential of the shadow measure
inferred← citeshttps://doi.org/10.1214/22-ejp868openalex-snapshot
A construction of the left-curtain coupling
inferred← citeshttps://doi.org/10.1214/25-aap2221openalex-snapshot
The Bass functional of martingale transport
inferred← citeshttps://doi.org/10.1214/25-aop1800openalex-snapshot
Existence of Bass martingales and the martingale Benamou–Brenier problem in Rd
inferred← citeshttps://doi.org/10.30757/alea.v19-01openalex-snapshot
Quantization and martingale couplings
inferred← citeshttps://doi.org/10.3150/17-bej1015openalex-snapshot
Dual attainment for the martingale transport problem
inferred← citeshttps://doi.org/10.3150/23-bej1592openalex-snapshot
Supermartingale shadow couplings: The decreasing case
inferred← citeshttps://doi.org/10.3934/fmf.2023010openalex-snapshot
Supermartingale Brenier's Theorem with full-marginals constraint
inferred← citeshttps://doi.org/10.48550/arxiv.1705.04273openalex-snapshot
Dual attainment for the martingale transport problem
inferred← citeshttps://doi.org/10.48550/arxiv.1903.06606openalex-snapshot
The structure of non-linear martingale optimal transport problems
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