Entropy martingale optimal transport and nonlinear pricing-hedging duality

Alessandro Doldi, Marco Frittelli

Year of publication:	2023
Authors:	Doldi, Alessandro ; Frittelli, Marco
Published in:	Finance and stochastics. - Berlin : Springer, ISSN 1432-1122, ZDB-ID 1467022-7. - Vol. 27.2023, 2, p. 255-304
Subject:	Entropy optimal transport problem \| Martingale optimal transport problem \| Pathwise finance \| Pricing-hedging duality \| Robust finance \| Theorie \| Theory \| Entropie \| Entropy \| Mathematische Optimierung \| Mathematical programming \| Martingal \| Martingale \| Transportproblem \| Transportation problem \| Finanzmathematik \| Mathematical finance

freely available

Full text |

More access options

doi.org

Check Google Scholar

In libraries world-wide (WorldCat)

In German libraries (KVK)

Which error do you want to report?

Report: URL of this record is broken

Please note: Sometimes more than one URL is available for a resource. Please click on "More Options" to display these URLs

Report: Addition of an URL to that resource

Please note: Sometimes more than one URL is available for a resource. Please click on "More Options" to display these URLs

Report: The language(s) of that resource is/are…

Please note: Required language not in the list? Please use comment field

Report: Addition of an identifier to that resource

Report: report typo

Report: Add statement

Report: Add keywords

Please use the commentary box to describe other errors

Would you like to receive a feedback?

Commentary

Please type the code from the image

For general questions please use this address.

Persistent link: https://www.econbiz.de/10014253636

A service of the