From Bachelier to Dupire via optimal transport
Mathias Beiglböck, Gudmund Pammer, Walter Schachermayer
| Year of publication: |
2022
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|---|---|
| Authors: | Beiglböck, Mathias ; Pammer, Gudmund ; Schachermayer, Walter |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 1432-1122, ZDB-ID 1467022-7. - Vol. 26.2022, 1, p. 59-84
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| Subject: | Bachelier | Dupire’s formula | Kellerer’s theorem | Optimal transport | Martingales | Peacocks | Theorie | Theory | Martingal | Martingale | Mathematische Optimierung | Mathematical programming |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00780-021-00466-3 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012796471