On intermediate marginals in martingale optimal transportation

DOI10.1007/s11579-023-00345-9zbMath1530.91578arXiv2307.09710OpenAlexW4388455389MaRDI QIDQ6146111

Julian Sester

Publication date: 10 January 2024

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2307.09710

zbMATH Keywords

additional informationmartingale optimal transportrobust price boundsintermediate marginals

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Martingales and classical analysis (60G46)

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