Computation of Robust Option Prices via Structured Multi-Marginal Martingale Optimal Transport

By Linn Engström, Sigrid Källblad, Johan Karlsson

Published 2024-06-14

Everscope rating

1807.8

Relevance to quantitative trading

8 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Structured Multi-Marginal Martingale Optimal Transport. Problem types: Optimization, Robust Pricing.

arXiv:2406.09959 · Paper rankings

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