The McCormick martingale optimal transport

By Erhan Bayraktar, Bingyan Han, Dominykas Norgilas

Published 2024-01-30

Everscope rating

1514.3

Relevance to quantitative trading

8 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: McCormick Martingale Optimal Transport. Problem types: Optimization, Option Pricing.

arXiv:2401.15552 · Code · Paper rankings

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