2023/07/19 by Julian Sester, Sester, Julian · 1 citation
Economics, Econometrics and Finance · Social Sciences · #FOS: Economics and business #FOS: Mathematics #Mathematical Finance (q-fin.MF) #Pricing of Securities (q-fin.PR) #Probability (math.PR) #Stochastic processes and financial applications #Transportation Planning and Optimization
paper · pdf · doi:10.48550/arxiv.2307.09710
openalex publication_date 2023/07/19 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
We study the influence of additional intermediate marginal distributions on the value of the martingale optimal transport problem. From a financial point of view, this corresponds to taking into account call option prices not only, as usual, for those call options where the respective future maturities coincide with the maturities of some exotic derivative but also additional maturities and then to study the effect on model-independent price bounds for the exotic derivative. We characterize market settings, i.e., combinations of the payoff of exotic derivatives, call option prices and marginal distributions that guarantee improved price bounds as well as those market settings that exclude any improvement. Eventually, we showcase in numerous examples that the consideration of additional price information on vanilla options may have a considerable impact on the resultant model-independent price bounds.