The paper establishes uniqueness and explicit structural forms for several three-period martingale optimal transport problems with interacting costs, and uses a first-order expansion to approximate model-free option price bounds.
On a problem of optimal transport under marginal martingale constraints
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Remarks on multi-period martingale optimal transport
The paper establishes uniqueness and explicit structural forms for several three-period martingale optimal transport problems with interacting costs, and uses a first-order expansion to approximate model-free option price bounds.