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Entropy Martingale Optimal Transport and Nonlinear Pricing-Hedging Duality - MaRDI portal

Entropy Martingale Optimal Transport and Nonlinear Pricing-Hedging Duality

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Publication:6341420

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DOI10.1007/S00780-023-00498-XzbMath1512.91141arXiv2005.12572MaRDI QIDQ6341420

Marco Frittelli, Alessandro Doldi

Publication date: 26 May 2020

Mathematics Subject Classification ID

Optimality conditions and duality in mathematical programming (90C46) Methods involving semicontinuity and convergence; relaxation (49J45) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Martingales and classical analysis (60G46)

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