Change of numeraire in the two-marginals martingale transport problem
Year of publication: |
April 2017
|
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Authors: | Campi, Luciano ; Laachir, Ismail ; Martini, Claude |
Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 21.2017, 2, p. 471-486
|
Subject: | Robust hedging | Model-independent pricing | Model uncertainty | Optimal transport | Change of numeraire | Forward start straddle | Martingal | Martingale | Hedging | Optionspreistheorie | Option pricing theory | Mathematische Optimierung | Mathematical programming | CAPM |
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