On entropy martingale optimal transport theory
Alessandro Doldi, Marco Frittelli, Emanuela Rosazza Gianin
| Year of publication: |
2024
|
|---|---|
| Authors: | Doldi, Alessandro ; Frittelli, Marco ; Rosazza Gianin, Emanuela |
| Published in: |
Decisions in economics and finance : a journal of applied mathematics. - Milano : Springer Italia, ISSN 1129-6569, ZDB-ID 2023516-1. - Vol. 47.2024, 1, p. 1-42
|
| Subject: | Entropy optimal transport | Martingale optimal transport | Pathwise finance | Pricing-hedging duality | Robust finance | Entropie | Entropy | Martingal | Martingale | Mathematische Optimierung | Mathematical programming | Finanzmathematik | Mathematical finance | Optionspreistheorie | Option pricing theory |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10203-023-00432-y [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015044783