Computation of Robust Option Prices via Structured Multi-Marginal Martingale Optimal Transport
Fuente:
arXiv
Salvato in:
| Autori principali: | , , |
|---|---|
| Natura: | Preprint |
| Pubblicazione: |
2024
|
| Soggetti: | |
| Accesso online: | |
| Tags: |
Aggiungi Tag
Nessun Tag, puoi essere il primo ad aggiungerne!!
|
| _version_ | 1866915205853741056 |
|---|---|
| author | Engström, Linn Källblad, Sigrid Karlsson, Johan |
| author_facet | Engström, Linn Källblad, Sigrid Karlsson, Johan |
| contents | We introduce an efficient computational framework for solving a class of multi-marginal martingale optimal transport problems, which includes many robust pricing problems of large financial interest. Such problems are typically computationally challenging due to the martingale constraint, however, by extending the state space we can identify them with problems that exhibit a certain sequential martingale structure. Our method exploits such structures in combination with entropic regularisation, enabling fast computation of optimal solutions and allowing us to solve problems with a large number of marginals. We demonstrate the method by using it for computing robust price bounds for different options, such as lookback options and Asian options. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2406_09959 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Computation of Robust Option Prices via Structured Multi-Marginal Martingale Optimal Transport Engström, Linn Källblad, Sigrid Karlsson, Johan Computational Finance Optimization and Control Probability Mathematical Finance 49M29, 60G42, 90C08, 91G20 We introduce an efficient computational framework for solving a class of multi-marginal martingale optimal transport problems, which includes many robust pricing problems of large financial interest. Such problems are typically computationally challenging due to the martingale constraint, however, by extending the state space we can identify them with problems that exhibit a certain sequential martingale structure. Our method exploits such structures in combination with entropic regularisation, enabling fast computation of optimal solutions and allowing us to solve problems with a large number of marginals. We demonstrate the method by using it for computing robust price bounds for different options, such as lookback options and Asian options. |
| title | Computation of Robust Option Prices via Structured Multi-Marginal Martingale Optimal Transport |
| topic | Computational Finance Optimization and Control Probability Mathematical Finance 49M29, 60G42, 90C08, 91G20 |
| url | https://arxiv.org/abs/2406.09959 |