Linking Vanillas and VIX Options: A Constrained Martingale Optimal Transport

2013 ◽  
Author(s):  
Pierre Henry-Labordere
Keyword(s):  
Optimal Transport ◽  
Vix Options ◽  
Martingale Optimal Transport

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

scholarly journals A Benamou–Brenier formulation of martingale optimal transport

Bernoulli ◽  
2019 ◽  
Vol 25 (4A) ◽  
pp. 2729-2757
Author(s):  
Martin Huesmann ◽  
Dario Trevisan
Keyword(s):  
Optimal Transport ◽  
Martingale Optimal Transport
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