An explicit martingale version of the one-dimensional Brenier theorem
Pierre Henry-Labordère, Nizar Touzi
| Year of publication: |
July 2016
|
|---|---|
| Authors: | Henry-Labordère, Pierre ; Touzi, Nizar |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 20.2016, 3, p. 635-668
|
| Subject: | Model-independent pricing | Martingale optimal transport problem | Robust superreplication theorem | Martingal | Martingale | Mathematische Optimierung | Mathematical programming | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00780-016-0299-x [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011531053