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Robust pricing and hedging of options on multiple assets and its numerics

arXiv 1909.03870 ↗First posted 9 Sep 2019math.PR math.OC q-fin.CPcited by 6

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Abstract (arXiv)

We consider robust pricing and hedging for options written on multiple assets given market option prices for the individual assets. The resulting problem is called the multi-marginal martingale optimal transport problem. We propose two numerical methods to solve such problems: using discretisation and linear programming applied to the primal side and using penalisation and deep neural networks optimisation applied to the dual side. We prove convergence for our methods and compare their numerical performance. We show how adding further information about call option prices at additional maturities can be incorporated and narrows down the no-arbitrage pricing bounds. Finally, we obtain structural results for the case of the payoff given by a weighted sum of covariances between the assets.

Key facts. Cited by 6 papers in the map (data through 14 Oct 2026). First posted on arXiv 9 Sep 2019.

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Citing papers per year: 2021: 1; 2022: 2; 2023: 2; 2024: 1.

6 papers.