Robust Pricing of Exotic Options

This project implements a method to compute robust bounds for exotic option prices using Martingale Optimal Transport with entropic regularization.

What’s inside

• A full Python implementation of the algorithm (see Xi_Bergman_comparaison.py)
• A report explaining the theory and methods used (Robust_pricing_of_exotic_options.pdf)
• Tools to visualize transport matrices and check constraints

Requirements

• Python 3
• NumPy, SciPy, Matplotlib

Authors

Julien Laborde Peyre, Beranger Gauthier, Titouan Brunel, Nathanael Jacquier, Henri-Louis Pozzo di Borgo