The Optimal Martingale Transport Problem With Additional Information about Variance of the Returns


We investigate the optimal transport problem with martingale constraints and its application to model-independent price bounds for financial derivatives. The novelty of this paper is the additional consideration of information... [ view full abstract ]


  1. Julian Sester (University of Freiburg)
  2. Eva Luetkebohmert (University of Freiburg)

Topic Areas

Optimal Transport , Robustness


MO-A-DA » Optimal Martingale Transport (11:30 - Monday, 16th July, Davis)

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