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Martingale Schrödinger bridges and optimal semistatic portfolios - MaRDI portal

Martingale Schrödinger bridges and optimal semistatic portfolios (Q2111249)

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Martingale Schrödinger bridges and optimal semistatic portfolios
scientific article

    Statements

    title
    Martingale Schrödinger bridges and optimal semistatic portfolios (English)
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    author
    Marcel Nutz
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    Johannes Wiesel
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    Long Zhao
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    publication date
    28 December 2022
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    zbMATH Keywords
    martingale Schrödinger bridge
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    semistatic trading
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    cites work
    Q4301147
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    91G10
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    60G42
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    60H30
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    zbMATH DE Number
    7637403
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    OpenAlex ID
    W4309927466
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    arXiv ID
    2204.12250
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