Bid–Ask Martingale Optimal Transport

By Bryan Liang, Marcel Nutz, Shunan Sheng, Valentin Tissot-Daguette

Published 2026-09-09

Everscope rating

1892.6

Relevance to quantitative trading

8 / 10

Implementation complexity

8 / 10

Reproducibility

3 / 5

About this paper

Methodology: Bid–Ask Martingale Optimal Transport (BAMOT). Problem types: Optimization, Risk Management, Robust Pricing, Superhedging, Portfolio Optimization, Derivatives Valuation, Model Calibration.

arXiv:2603.24605 · Paper rankings

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