We propose a general, accurate and fast econometric approach for the estimation of affine option pricing models. The algorithm belongs to the class of Laplace-Type Estimation (LTE) techniques and exploits Sequential Monte Carlo (SMC) methods. We employ functions of the risk-neutral cumulants...

We investigate the optimal martingale transport problem under additional constraints and its application to robust price bounds for financial derivatives. More specifically, we derive improved price bounds by taking into account supplementary information about the variance of the returns on the...