Model-free Hedging: A Martingale Optimal Transport Viewpoint focuses on the computation
of model-independent bounds for exotic options consistent with market prices of liquid …

We establish a nondominated version of the optional decomposition theorem in a setting
that includes jump processes with nonvanishing diffusion as well as general continuous …

We consider derivatives written on multiple underlyings in a one-period financial market,
and we are interested in the computation of model-free upper and lower bounds for their …

We investigate the pricing–hedging duality for American options in discrete time financial
models where some assets are traded dynamically and others, for example, a family of …

We consider the fundamental theorem of asset pricing (FTAP) and the hedging prices of
options under nondominated model uncertainty and portfolio constraints in discrete time. We …

Beiglböck and Juillet (Ann. Probab. 44 (2016) 42–106) introduced the left-curtain martingale
coupling of probability measures μ and ν, and proved that, when the initial law μ is …

In a discrete time and multiple-priors setting, we propose a new characterisation of the
condition of quasi-sure no-arbitrage which has become a standard assumption. We show …

In this work, we introduce the notion of fully incomplete markets. We prove that for these
markets, the super‐replication price coincides with the model‐free super‐replication price …

We consider the super-hedging price of an American option in a discrete-time market in
which stocks are available for dynamic trading and European options are available for static …

We consider the problem of finding a model-free upper bound on the price of an American
put given the prices of a family of European puts on the same underlying asset. Specifically …