Linking Vanillas and VIX Options: A Constrained Martingale Optimal Transport Problem

2015 ◽  
Vol 6 (1) ◽  
pp. 1171-1194 ◽  
Author(s):  
Stefano De Marco ◽  
Pierre Henry-Labordère
Keyword(s):  
Optimal Transport ◽  
Transport Problem ◽  
Vix Options ◽  
Martingale Optimal Transport

A discrete method for the initialization of semi-discrete optimal transport problem

2021 ◽  
Vol 212 ◽  
pp. 106608
Author(s):  
Judy Yangjun Lin ◽  
Shaoyan Guo ◽  
Longhan Xie ◽  
Ruxu Du ◽  
Gu Xu
Keyword(s):  
Optimal Transport ◽  
Transport Problem ◽  
Discrete Method

Duality for the $L^{\infty }$ optimal transport problem

2016 ◽  
Vol 369 (5) ◽  
pp. 3289-3323 ◽  
Author(s):  
E. N. Barron ◽  
M. Bocea ◽  
R. R. Jensen
Keyword(s):  
Optimal Transport ◽  
Transport Problem

scholarly journals Martingale Optimal Transport with Stopping

2018 ◽  
Vol 56 (1) ◽  
pp. 417-433 ◽  
Author(s):  
Erhan Bayraktar ◽  
Alexander M. G. Cox ◽  
Yavor Stoev
Keyword(s):  
Optimal Transport ◽  
Martingale Optimal Transport

MASS TRANSPORTATION IN GROUPS OF TYPE H

2005 ◽  
Vol 07 (04) ◽  
pp. 509-537 ◽  
Author(s):  
S. RIGOT
Keyword(s):  
Cost Function ◽  
Optimal Transport ◽  
Transport Problem ◽  
Mass Transportation ◽  
Heisenberg Groups ◽  
The One ◽  
Carathéodory Distance ◽  
The Cost ◽  
Special Case

We give a solution of the optimal transport problem in groups of type H when the cost function is the square of either the Carnot–Carathéodory or Korányi distance. This generalizes results previously proved for the Heisenberg groups. We use the same strategy that the one which was developed in that special case together with slightly refined technicalities that essentially reflect the fact that the center of the group can be of dimension larger than one. For each distance we prove existence, uniqueness and give a characterization of the optimal transport. In the case of the Carnot–Carathéodory distance we also prove that the optimal transport arises as the limit of the optimal transports in natural Riemannian approximations.

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