Model-independent bounds for option prices - a mass transport approach. - Mathias Beiglböck; Pierre Henry-Labordère; Friedrich Penkner (Finance Stochastics, 2013)

Linking Vanillas and VIX Options: A Constrained Martingale Optimal Transport Problem. - Stefano De Marco; Pierre Henry-Labordère (SIAM J. Financial Math., 2015)

An explicit martingale version of the one-dimensional Brenier theorem. - Pierre Henry-Labordère; Nizar Touzi (Finance Stochastics, 2016)

A Dual Algorithm for Stochastic Control Problems: Applications to Uncertain Volatility Models and CVA. - Pierre Henry-Labordère; Christian Litterer; Zhenjie Ren (SIAM J. Financial Math., 2016)

Some Results on Skorokhod Embedding and Robust Hedging with Local Time. - Julien Claisse; Gaoyue Guo; Pierre Henry-Labordère (J. Optim. Theory Appl., 2018)

Pricing Bermudan Options Using Regression Trees/Random Forests. - Zineb El Filali Ech-Chafiq; Pierre Henry-Labordère; Jérôme Lelong (SIAM J. Financial Math., 2023)