Related references
Note: Only part of the references are listed.Change of numeraire in the two-marginals martingale transport problem
Luciano Campi et al.
FINANCE AND STOCHASTICS (2017)
Optimal transport and Skorokhod embedding
Mathias Beiglboeck et al.
INVENTIONES MATHEMATICAE (2017)
COMPLETE DUALITY FOR MARTINGALE OPTIMAL TRANSPORT ON THE LINE
Mathias Beiglbock et al.
ANNALS OF PROBABILITY (2017)
ON A PROBLEM OF OPTIMAL TRANSPORT UNDER MARGINAL MARTINGALE CONSTRAINTS
Mathias Beiglboeck et al.
ANNALS OF PROBABILITY (2016)
ON THE MONOTONICITY PRINCIPLE OF OPTIMAL SKOROKHOD EMBEDDING PROBLEM
Gaoyue Guo et al.
SIAM JOURNAL ON CONTROL AND OPTIMIZATION (2016)
A STOCHASTIC CONTROL APPROACH TO NO-ARBITRAGE BOUNDS GIVEN MARGINALS, WITH AN APPLICATION TO LOOKBACK OPTIONS
A. Galichon et al.
ANNALS OF APPLIED PROBABILITY (2014)
Martingale optimal transport and robust hedging in continuous time
Yan Dolinsky et al.
PROBABILITY THEORY AND RELATED FIELDS (2014)
BOUNDARY CROSSING IDENTITIES FOR BROWNIAN MOTION AND SOME NONLINEAR ODE'S
L. Alili et al.
PROCEEDINGS OF THE AMERICAN MATHEMATICAL SOCIETY (2014)
THE GENERALIZED SHIRYAEV PROBLEM AND SKOROKHOD EMBEDDING
S. Jaimungal et al.
THEORY OF PROBABILITY AND ITS APPLICATIONS (2014)
Model-independent bounds for option prices-a mass transport approach
Mathias Beiglboeck et al.
FINANCE AND STOCHASTICS (2013)
ROBUST BOUNDS FOR FORWARD START OPTIONS
David Hobson et al.
MATHEMATICAL FINANCE (2012)
EXISTENCE AND UNIQUENESS OF SOLUTIONS TO THE INVERSE BOUNDARY CROSSING PROBLEM FOR DIFFUSIONS
Xinfu Chen et al.
ANNALS OF APPLIED PROBABILITY (2011)
The Skorokhod Embedding Problem and Model-Independent Bounds for Option Prices
David Hobson
PARIS-PRINCETON LECTURES ON MATHEMATICAL FINANCE 2010 (2011)
On the first crossing times of a Brownian motion and a family of continuous curves
L Alili et al.
COMPTES RENDUS MATHEMATIQUE (2005)