The maximum maximum of a martingale with given \(n\) marginals
type: Item
instance of: scholarly article
title: The maximum maximum of a martingale with given \(n\) marginals
zbMATH Open document ID: 1337.60078
DOI: 10.1214/14-AAP1084
author: Pierre Henry-Labordère
author: Jan Obłój
author: Peter Spoida
author: Nizar Touzi
published in: The Annals of Applied Probability
publication date: 2016-03-11T00:00:00Z
full work available at URL: https://arxiv.org/abs/1203.6877
full work available at URL: https://projecteuclid.org/euclid.aoap/1452003233
Mathematics Subject Classification ID: 60G44
Mathematics Subject Classification ID: 60G70
Mathematics Subject Classification ID: 91G80
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60J60
Mathematics Subject Classification ID: 49J55
Mathematics Subject Classification ID: 93E20
zbMATH DE Number: 6554514
zbMATH Keywords: maximum process
zbMATH Keywords: martingales
zbMATH Keywords: robust pricing
zbMATH Keywords: hedging
zbMATH Keywords: volatility uncertainty
zbMATH Keywords: optimal transportation
zbMATH Keywords: optimal control
zbMATH Keywords: pathwise inequalities
zbMATH Keywords: lookback option
MaRDI profile type: Publication
arXiv ID: 1203.6877
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OpenAlex ID: W3098180202
description: scientific article; zbMATH DE number 6554514