(explicit construction of distinct equivalent probability measures), and geometric analysis (payoff structure comparison …). Specifically, we prove that the set of equivalent probability measures consistent with observed basket prices contains distinct …

, where the metric on probability measures is taken as a Wasserstein metric arising from optimal transport theory. Design …/methodology/approach - The authors spell out the basis and rationale for using Wasserstein metrics on the data space of (random) probability … measures. Findings - In elaborating the new statistical analysis of non-Euclidean data sets, the paper illustrates the …