Martingale transport with homogeneous stock movements
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Publication:4991072
DOI10.1080/14697688.2020.1787493zbMath1466.91334arXiv1908.10242OpenAlexW2970887241MaRDI QIDQ4991072
Michael Kupper, Stephan Eckstein
Publication date: 2 June 2021
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1908.10242
Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (2)
On intermediate marginals in martingale optimal transportation ⋮ Model-Free Price Bounds Under Dynamic Option Trading
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