The McCormick martingale optimal transport
By Erhan Bayraktar, Bingyan Han, Dominykas Norgilas
Rating
1498
Battle Count: 15
Relevance
8/10
Highly relevant for option pricing and risk management in quantitative trading strategies
Implementation Complexity
7/10
Requires advanced mathematical understanding and optimization techniques, but code is provided
Reproducibility
4/5
The paper provides detailed mathematical formulations and proofs. Code is available on GitHub.
About this paper
Methodology: McCormick Martingale Optimal Transport. Problem types: Optimization, Option Pricing.
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