Adapted Wasserstein distances and stability in mathematical finance
Julio Backhoff-Veraguas, Daniel Bartl, Mathias Beiglböck, Manu Eder
| Year of publication: |
2020
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|---|---|
| Authors: | Backhoff, Julio Daniel ; Bartl, Daniel ; Beiglböck, Mathias ; Eder, Manu |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 24.2020, 3, p. 601-632
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| Subject: | Hedging | Utility maximisation | Optimal transport | Causal optimal transport | Wasserstein distance | Sensitivity | Stability | Theorie | Theory | Mathematische Optimierung | Mathematical programming | Finanzmathematik | Mathematical finance |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00780-020-00426-3 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012518060