Zobrazeno 1 - 10
of 30
pro vyhledávání: '"Norgilas, Dominykas"'
Autor:
Bayraktar, Erhan, Norgilas, Dominykas
In this article we revisit the weak optimal transport (WOT) problem, introduced by Gozlan, Roberto, Samson and Tetali (2017). We work on the real line, with barycentric cost functions, and as our first result give the following characterization of th
Externí odkaz:
http://arxiv.org/abs/2407.13002
Martingale optimal transport (MOT) often yields broad price bounds for options, constraining their practical applicability. In this study, we extend MOT by incorporating causality constraints among assets, inspired by the nonanticipativity condition
Externí odkaz:
http://arxiv.org/abs/2401.15552
Autor:
Hobson, David, Norgilas, Dominykas
We give an injective martingale coupling; in particular, given measures $\mu$ and $\nu$ in convex order on $\mathbb{R}$ such that $\nu$ is continuous, we construct a martingale coupling $\pi$ of the two measures with disintegration $\pi(dx,dy) = \pi_
Externí odkaz:
http://arxiv.org/abs/2303.01578
We explicitly construct the supermartingale version of the Fr{\'e}chet-Hoeffding coupling in the setting with infinitely many marginal constraints. This extends the results of Henry-Labordere et al. obtained in the martingale setting. Our constructio
Externí odkaz:
http://arxiv.org/abs/2212.14174
For two measures $\mu$ and $\nu$ that are in convex-decreasing order, Nutz and Stebegg (Canonical supermartingale couplings, Ann. Probab., 46(6):3351--3398, 2018) studied the optimal transport problem with supermartingale constraints and introduced t
Externí odkaz:
http://arxiv.org/abs/2207.11732
The increasing supermartingale coupling, introduced by Nutz and Stebegg (Canonical supermartingale couplings, Annals of Probability, 46(6):3351--3398, 2018) is an extreme point of the set of `supermartingale' couplings between two real probability me
Externí odkaz:
http://arxiv.org/abs/2108.03450
Autor:
Hobson, David, Norgilas, Dominykas
In a martingale optimal transport (MOT) problem mass distributed according to the law $\mu$ is transported to the law $\nu$ in such a way that the martingale property is respected. Beiglb\"ock and Juillet (On a problem of optimal transport under marg
Externí odkaz:
http://arxiv.org/abs/2102.10549
It is well known that given two probability measures $\mu$ and $\nu$ on $\mathbb{R}$ in convex order there exists a discrete-time martingale with these marginals. Several solutions are known (for example from the literature on the Skorokhod embedding
Externí odkaz:
http://arxiv.org/abs/2008.09936
Autor:
Hobson, David G., Norgilas, Dominykas
Beiglb\"ock and Juillet ("On a problem of optimal transport under marginal martingale constraints") introduced the left-curtain martingale coupling of probability measures $\mu$ and $\nu$, and proved that, when the initial law $\mu$ is continuous, it
Externí odkaz:
http://arxiv.org/abs/1802.08337
Autor:
Hobson, David, Norgilas, Dominykas
We consider the problem of finding a model-free upper bound on the price of an American put given the prices of a family of European puts on the same underlying asset. Specifically we assume that the American put must be exercised at either $T_1$ or
Externí odkaz:
http://arxiv.org/abs/1711.06466